Optimization Type for performance of last 'n' trades

[dave416]

Hello NinjaTraders,

I have a strategy that requires optimization based on the performance of the most recent set of trades only. I'm trying to write an optimization type that accommodates this, but before I do could someone please answer:

a) is it possible to pass in a variable to the optimization type code that allows you to specify the number of most recent trades to account for in the fitness test? Or must this number be hard-coded? (I'm fine with either way)

b) What's the best approach to getting the performance of the last N trades? Is there a pre-defined method that can be used, or would I need to loop through each trade and add up the P/L for each one and do my own calculations?

Thanks!

-Dave

[NinjaTrader_Joydeep]

Hello dave416,
Thanks for your note.

A. Yes, you can pass on a input parameter (public property) and access it from the Strategy property in the Optimization class.

Say you have a property as MyInput then you can call it from the Optimizer as:

this.Strategy.MyInput

B. You can use the TradeCollection object to retrive the trades.

this.Strategy.Performance.AllTrades

Please do note the optimization class is not officially supported.