Optimizer: profitability

[ch9090]

Dear all, the optimizer can be optimize on a few parameters. Most are obvious or described in the manual but somehow I am not sure about the "max profitability"? I would be grateful to learn how it is define.
Thank you. KR. Ch90

[NinjaTrader_Brett]

Hello,

Thanks for the forum post.

Can you show me a screenshot of what your referencing as I'm having issue finding what you are asking on.

To send a screenshot press Alt + PRINT SCREEN to take a screen shot of the selected window. Then go to Start--> Accessories--> Paint, and press CRTL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.


I look forward to assisting you further.

[ch9090]

This should help, the option is in Optimizer > Optimize > Optimize on...

[ch9090]

Dear Brett,

I was wondering if you had the time to consider my demand re max profitability?

Thank you,
Ch90

[NinjaTrader_Brett]

Hello,

Thanks for the note.

Here is the code for returning Max Probability.

double div    = systemPerformance.AllTrades.TradesPerformance.Percent.StdDev / Math.Sqrt(systemPerformance.AllTrades.TradesCount);
                double t    = Stat.StudTp(systemPerformance.AllTrades.TradesPerformance.Percent.AvgProfit / div, systemPerformance.AllTrades.TradesCount - 1);
                return (div <= 0.5 ? 1 - t : t);

[ch9090]

Hi Brett, Thank you for the technical information. Do you have a definition for dummies? I am not sure how to interpret the code

[NinjaTrader_Brett]

Hello,

It is the Standard Deviation of the Trade Performance in Percent devided by the sqrt of all the trades taken which is then further divided by the AvgProfit and then compared statistically to all trades to find out the number of trades that were successful vs the number of trades that fell below the above cut off for success or failure as defined above. To give you probability of each trade being profitable and specifically the maximum probability of trades that had success will be filtered to the top when optimizing on this value.

Let me know if I can be of further assistance.

[ch9090]

I think I got it. Thank you Brett.