Whitmark Genetic Optimizer 2.2 for NT 6.5

[whitmark]

Thank you to all those who have checked out the Genetic Optimizer 2.0/2.1 for NinjaTrader 6.5 first presented in these threads:

http://www.ninjatrader-support2.com/vb/showthread.php?t=17351

http://www.ninjatrader-support2.com/vb/showthread.php?t=17802

I have released a new version, 2.2, that greatly expands the performance statistics available in the "SaveAll" comma-delimited csv output file. If you have ever tried to parse out the parameters in the Strategy Analyzer, you will find this to be a big timesaver. The performance statistics presented are the same ones presented in the Strategy Analyzer but are organized by column for each optimization run (row) when the csv file is opened in Excel. The fields in the output spreadsheet include:

• Each Parameter Value Parsed
• Fitness Function Value
• Fitness Function Type
• Net Profit
• Gross Profit
• Gross Loss
• Commission
• Profit Factor
• Cumulative Profit Pct
• Draw Down Pct
• Draw Down Amt
• Sharpe Ratio
• Total Trades
• Pct Profitable
• Winning Trades
• Losing Trades
• Avg Profit
• Winner Avg Profit
• Loser Avg Profit
• Win/Lose Ratio
• Max Consecutive Winners
• Max Consecutive Losers
• Largest Winner
• Largest Loser
• Trades per Day
• Avg Trade Duration Minutes
• Avg Bars in Trade
• Profit Per Month
• Max Time to Recover Days
• Avg Maximum Adverse Excursion (MAE)
• Avg Maximum Favorable Excursion (MFE)
• Avg End Trade Drawdown (ETD)
• Iteration Number (duplicate iterations excluded)

You can view wmGO screen shots, video and download a trial at:

http://www.whitmarkdevelopment.com/products/wmGO/wmGO.htm

Please email me at [email protected] if you have any questions or feedback.

Whitmark
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[cohndw]

User defined Fitness, Crossover and Mutation rates

From what I have seen your genetic optimizer has some features I have not seen in other optimizers, with the seed option being an excellent, unique feature.

Does version 2.2 allow the user to define the Fitness function (and change it on the fly between iterations), crossover and mutation rates?

Thanks,

Dave

[whitmark]

Thanks, David, for your comments.

wmGO 2.2 does not allow custom scripted fitness functions although I am happy to incorporate suggestions and am looking into ways for users to link in their own fitness function dll.

The wmGO control panel will reappear between walkforward optimizations to allow you to modify the settings. However, if you are referring to the ability to control the these settings within an optimization run to control these settings or make the optimization process self-adaptive, then no, that functionality is not available.

Whitmark