Optimizer Suggestions

[NinjaTrader_JoshP]

Check your Instrument Manager for the SPX. This is not a default stock in the list.

[Anagoge]

I just re-started NT and now the cumulated profit numbers seem fine for the same strategy/instrument. I'm not sure what went wrong earlier with the calculations. I created and configured SPX as a fictitious stock mirroring the S&P 500 index, but the conversion numbers in the instrument manager dialog match other stocks, like IBM.

I have also noticed that fairly often I get NT to the point that I select a row in the optimizer results, but the graphs, etc. don't update to reflect the selected row (the summary tab does update), but I can't find a reproducible case yet. Once I get into that state, re-running the optimization fixes things temporarily. I'll let you know if ever I find the trigger for that issue.

I might have taken the screenshot after running into that update bug, and they might be related. I'll see what I find...

Update: I was just able to reproduce the calculation bug after the update bug I described above happened, but I still don't know the trigger yet...

[NinjaTrader_JoshP]

Anagoge,

Thank you for your efforts. We do appreciate it. Hope you had a great Christmas.

[bkout]

sorting on several col

Forgive me if this is obvious but until Ninja can do a sort like this if someone has a consistant routine of sorting/weighting it can be done by exporting to Excel and then recording a macro. I did one where the top 20 of the 100 saved results each get a highlight color after each sort on the columns I chose and the final sort is on % profitable which I chose as my #1 criteria. Then I can scroll down and compare which prameters produce the most highlights.

I keep coming across more ideas to improve the optimizer, so I'll continue to post them, in case they are useful, unless someone asks me to stop:

- In addition to my previous idea to allow custom columns in the trade grid results, it would also be helpful to be able to add individual columns to the optimizer grid (the one where it keeps the best 10 parameter combinations by profit factor, etc.) where the column would represent the value of a single parameter to the strategy. Currently, all parameters are stuffed into a single Parameters column. Then, I could sort the results by a given parameter value and see how the cumulative profit trends with that parameter, etc. This is very similar to my suggestion to allow graphing these types of relationships, but might be easier to implement directly in the grid rather than in a graph.

- It would be great to be able to sort the trade/optimizer grids by more than one column. I've seen some applications that do this by clicking the first header to set the main sort and then Ctrl+clicking additional headers to set the secondary sort columns. For example, I could first sort by the instrument name and then by cumulative profit, etc.

[NinjaTrader_Bertrand]

Thanks for your input bkout!

[gkinlaw]

Need Chart time and strategy time

Seems like we need additional time parameters in the optimizer. We need a chart time start/stop and a strategy time start/stop.

If you run a strategy on 9am to 4pm, your indicators (ma's) will reflect only information in that time period, when in reality you would run the strategy on globex data and manually start the strategy at 9am. The MA's are in different locations and therefore the strategy performs different in real time vs the optimizer. I have set up a nice strategy in the optimzer to find that ir performs poorly in real time.

I have worked around it by setting the chart to start at my optimizer times and set data series days to 1 or 2. You don't want to run the optimizer on globex b/c you don't want any trading to occur in low volume hours. Maybe I don't want the low vol data anyway. Whats the right answer??

also.

Will we be able to optimze the time frame in v7
Does the analzyer jump instruments to backtest 6 months or must I stay within the time frame of the instrument date?

thanks

[NinjaTrader_JoshP]

gkinlaw,

If you want a strategy start/stop time you need to program it. Please see this reference sample: http://www.ninjatrader-support2.com/...ead.php?t=3226

[Anagoge]

Monthly Profit Graph In %

If you run an optimization and select to display numbers as % in the toolbar dropdown, the monthly Net profit graph still displays in dollars. I think it would helpful if it displayed in % when % is selected in the dropdown and Currency when Currency was selected.

[Anagoge]

Optimize Boolean

I'd like to be able to optimize boolean (true/false) parameters to a strategy. At the moment, you apparently have to change them to integers (0/1) or similar to optimize them.

[Anagoge]

Expose Indicator Parameters

I'd like some way to auto-expose all of an indicator's parameters in a strategy, so I don't have to manually create strategy properties for them, to facilitate quicker strategy creation. For example, if I have a SMA indicator in a strategy, I could give it a "parameter-exposing" name of "Fast" then a parameter named Period on the SMA indicator would be auto-exposed in the strategy as a parameter called FastPeriod. Another option would be to display the registered indicators in the strategy as individual indicators in the strategy optimization/backtest parameters dialog, and have a way to expand/contract (using +/-) the indicator to set the individual properties on it, similar to the Style parameter here:

http://www.greatis.com/delphicb/objinsp/objinsp.gif

[NinjaTrader_JoshP]

Thank you for the suggestions. I will add them to our list of future considerations.

[rsi77]

separate column for each parameter in optimizer

I believe this is mentioned below, but I wanted to mention it again because it is very important. When I analyze my strategy it is very important for me to be able to separate the effect of each individual parameter value. This is difficult with the default way the optimization report loads into Excel.
Here's how I handle it right now--if somebody has a more elegant way of doing this please reply. In the end I want to be able to sort the entire report by individual parameter values that were used in the optimization.

I copy the column containing the parameters and parameter names into a text file and save the text file. [place cursor at the top row of the column, press [F8], then [ctrl] + [down arrow] then [ctrl]+[c]. I open notepad and after placing my cursor in the field press [ctrl]+[v]. I the save the notebook file.]
I then open the text file in Excel and choose delimited file for type.
After pressing "next" I choose "space" for delimiters and also "other", after which a place a "/" in the "other" box.
After opening the file the first set of columns are all my different parameters, and the second set are the parameter names (each in separate columns).
I copy the first row of names columns from the newly opened Excel file into the top row of the empty columns to the right of the data in my original excel file that was created by the optimizer.
I then copy all the parameter data and paste it directly beneath this row.
I then have each individual parameter named and sorted along with all the optimization results.

But it would be a whole lot easier if the Optimizer created the file this way in the first place!

[NinjaTrader_JoshP]

rsi77,

Thank you for taking the time to voice your concern. They are on our list of future considerations.

[Anagoge]

I believe this is mentioned below, but I wanted to mention it again because it is very important. When I analyze my strategy it is very important for me to be able to separate the effect of each individual parameter value.

You might find it easier to use the Text to Columns feature of Excel with the slash as the delimiter. I use that to separate out the individual parameter values I'm interested in for each optimization run. But, in general, I agree with you that each parameter should be in a separate column when you export from NT, so that this process is easier.

I already suggested this earlier, but even better would be to take a strategy parameter and set the parameter value to the X axis, and be able to pick an arbitrary performance measure (cumulative profit, average drawdown, etc.) and make that the Y axis. If NT supported 3-D surface plots like Excel and some other trading tools do, you could take a pair of parameters as the X/Y axes (2 SMA lengths, etc.) and make the performance measure be the Z axis. Very often, just taking the max performance configuration and trading with is it is a bad idea. IMO, it is better to analyze the graph of performance based on the parameters and choose the center of a broad peak, even if it isn't necessarily the highest peak on the graph, which might just be noise mixed in the signal.

[bkout]

Unless I'm not understanding what you want I think there is a much easier way. Run the optimization> right click on the optimizer page>Export to Excel>File>Save As>Save As an Excel workbook in your desired file location>Data>Sort>choose desired sort parameter, leave header row checked>OK. Can repeat as desired by different criteria. Putting these steps into a macro makes it a snap. Here is an image of the process as I described below that highlights the top 20 performers in several columns I selected. I also had the macro insert a column called %PROFITABLE. This shows the same value as the normal %profitable IF Profit Factor is >1.5, % profitable is >55%, Average Trade makes >$50 and Ratio Avg Win/avg loss is >110 (see row 2 and the title on row 1 both of which are put in by the macro) -- otherwise it gives a value of zero. The final sort is then done by %PROFITABLE which helps me avoid looking at optimizations which might be strong on a given sort but not meet my minimum values to be considered. Columns that are not as important to me are hidden by the macro. After the Export and Save process the macro takes about 10 seconds to do this work -- takes a while to set up but then sweet to watch!