Optimization

[Guest]

Is there an option to perform optimization maximizing geometrical mean, if not, is it possible to modify NT to do this manually?

Thank you.

[NinjaTrader_Matthew]

Hello,

It is not currently possible natively, but is so using custom programming.

Please see our Help Guide article on Developing Custom Fill and Optimizer Types for more information:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?developing_custom_fill_and_opt.htm

[BoyPlunger]

Thank you. It seem easy to program and I have done so but for some reason it does not work properly. I followed your instructions and copied and modified one of the existing optimization files, it is just a few lines. The optimization process is running ok but all values of performance have the same value 1. Did I miss anything?

Here is my code:

//
// Copyright (C) 2006, NinjaTrader LLC <www.ninjatrader.com>.
//
#region Using declarations
using System;
using System.ComponentModel;
using System.Drawing;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
/// <summary>
/// </summary>
[Gui.Design.DisplayName("max. geo. mean")]
public class MaxGeoMean : OptimizationType
{
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
double gmean = 1;
for (int i=0;i<systemPerformance.AllTrades.Count;i++)
{
Trade myTrade = systemPerformance.AllTrades[systemPerformance.AllTrades.Count - 1 - i];
gmean = gmean * (1+myTrade.ProfitPercent);
}
gmean = Math.Pow(gmean,1.0/systemPerformance.AllTrades.Count);
return(gmean);
}
}
}

[NinjaTrader_Joydeep]

Hello BoyPlunger,
Unfortunately custom optimization is beyond what we could support but you can refer to the DefaultOptimizationMethod.cs file located in the folder C:\Users\JMitra\Documents\NinjaTrader 7\bin\Custom\Type\ to get an idea on how to create custom Optimization methods.

Please let me know if I can assist you any further.