Optimize Data Series Value

[FBenitez]

I have the same question:

http://www.ninjatrader-support2.com/vb/showthread.php?t=15124#post82448

How to strategy test against multi timeframes ?
How do I take a strategy and after beacktesting it, them run the optimizer using many different time frames? Restated, I run a successful backtest, get a good result lets say using 10 minute charts, I can manually set backtest to 15(or 4 or whatever) and run it again, how can I set a range of minutes ( 1 to 30) or whatever, and get the optimizer to find out the most profitale period for my strategy. PS I know how to set a "slow" / "fast" MS variable and have optimizer run against all combinations, can't seem to figure how to do same with minutes.
Thanks
Wilson


Wilson,

Optimizing on the data series is currently not available in NT6.5.

We create the data series as a parameter, and we can backtest it ok, but if we want to optimize this parameter, the result is the same for all minute bars...

We are trying to optimize a strategy with respect to the parameter "tbarrainterna1" (size in minutes of the internal work bar array) and parameter "Simple". Running the strategy with "backtest" gets logical results for each parameter combination. But executing "Optimize" the results for the tests are identical for every "tbarrainterna1" value while "Simple" is constant.


SAMPLE CODE.

protected override void Initialize()
{
Add(PeriodType.Minute,tbarraInterna1 ); //indice de acceso 1
Add(SMA(Simple));

CalculateOnBarClose = true;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
switch (BarsInProgress)
{
case 0: //BARRAS POR DEFECTO DEL GRAFICO EN USO
//NADA break;
case 1: //BARRAS tbarrainterna1
// Condition set 1
if (Closes[1][0] > SMA(BarsArray[1],Simple)[0])
{
EnterLong(DefaultQuantity, "");
}

// Condition set 2
if (Closes[1][0] < SMA(BarsArray[1],Simple)[0])
{
EnterShort(DefaultQuantity, "");
}

break;
......
#region Properties
//-------------------------------------------------
[Description("")]
[Category("Parameters")]
public int Simple
{
get { return simple; }
set { simple = Math.Max(1, value); }
}




/////////////////////////////////////////////////////////////////////
[Description("Tiempo de la barra para el calculo interno.")]
[Category("Parameters")]
public int TbarraInterna1
{
get { return tbarraInterna1; }
set { tbarraInterna1 = Math.Max(1, value); }
}


Best Regards,
Federico Benitez.

[NinjaTrader_Bertrand]

Welcome to the NinjaTrader support forums!

Unfortunately this is not supported, as the PeriodType in the Initialize() / Add can't be changed dynamically.

This is however on our list for future consideration.

[ctrlbrk]

Will this now be possible with NT7?

Mike

[NinjaTrader_JoshP]

There will be more flexibility in optimizing in NT7.