Optimization

[ScottB]

Hi,

I have a print statement in OnStartUp for a strategy I am optimizing. I am getting two identical lines in the output window per iteration i.e. it appears OnStartUp is being called twice per iteration.

I am seeing this consistently regardless of how many iterationsI have. Is there something I could have done in the Optimizer that would cause this?

Best Regards,
Scott

[NinjaTrader_Bertrand]

Are you testing on dual core PC there Scott?

[ScottB]

Yes I am. I have the optimization parameters set such that I should get only 1 execution (I have also tried it with it set so I will get two).

[NinjaTrader_Bertrand]

Scott, you will see 2 as you can at maximum run 2 instances of the strategy on your dual core PC - for example if you backtest - you would see one instance used only -> one OnStartUp print.

[ScottB]

Bertrand, I am a little unclear on this. It appears, I am getting two identical executions for each parameter combination; is that correct? (I am writing performance data to an SQL Server database)

[NinjaTrader_Bertrand]

Scott, looks like we need to sync on what's happening - yes on a MultiCore PC multiple instances of your strategy could be used, hence you could see OnStartUp() triggered more than once if you print from here. This means also your performance data writing triggered from there could end up producing duplicates from what I understand so far - btw: did you change anything in the default / genetic optimizer CS files to be able to work off the iteration cycles?

[ScottB]

Bertrand, I can deal with the database issue by rejecting duplicate keys; I am thinking about the performance issues. I think I probably have a misunderstanding here because it would seem to imply that contrary to appearances NT isn't really doing any new work in the additional cores.

I am using the supplied default/genetic optimizer files. If I could get which iteration I am on, that would get around my problem as well.

Best Regards,
Scott

[NinjaTrader_Bertrand]

Hi Scott, with multicore support NT would evaluate multiple instances (different parameter combinations) of the strategy in parallel allowing for a more efficient workflow - I'm not sure why you feel there's no benefit gained here. I believe GA type (bin > custom > type) would allow for access to the completed iterations as performance is recorded.

[ScottB]

Bertrand, I meant there is no benefit if two different cores are evaluating the same parameter set which is what appears to be happening.

I got 2 OnStartUp executions with no parameters being optimized even though I used the optimizer. When I gave the optimizer 1 parameter to evaluate with 2 possibilities, I was expecting 2 iterations yet I got 4.

On a good note, I did figure out how to get performance data for any subset my trades automatically.

Best Regards,
Scott

[NinjaTrader_Bertrand]

Hi Scott, I just replied to your email sent in to support - if you would happen to have a scenario to investigate for us I would be happy to give it a run here.