Max Probability Optimization

[Ironplates]

What is the objective, intention, or aim of this optimization selection?

[NinjaTrader_Lance]

I'm not entirely sure I know what you're referring to and I may need some further clarification. Do you have a link or screenshot you could show me?

Are you perhaps asking about Genetic Algorithm settings: http://www.ninjatrader.com/support/h..._algorithm.htm

Let me know how I can further assist.

[Ironplates]

max probability is a choice of method when optimizing a strategy.

optimizing to max net profit, max profit factor, etc. is self explanatory. what does max probability mean?

[NinjaTrader_Lance]

Ok thank you for the clarification

It is the Standard Deviation of the Trade Performance in Percent divided 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.

[Ironplates]

will you expand on that explanation please. what is the aim of this optimization is a couple sentences or less?

my optimization output results in all negative total net profits, % of profitable trades ranging from 0 to 65% and profit factors between 0 and .80.

this optimization result is contradicting a profitable system.

[NinjaTrader_Lance]

This optimization will 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.

Here is the code for this calculation:

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);

If you're only seeing negative results that's because none of the optimizations returned had positive returns.

[koganam]

What is the objective, intention, or aim of this optimization selection?

As with all optimizations, the intent is to find the optimal parameters to reach the objective. In this case, the objective would be to find the parameters that would result in trades that have the maximum probability of success.