Running optimization on multiple assets

[funtra513]

Hello everyone,

is it possible to run an optimization for multiple assets? I know that it is possible to select e.g. all shares in one index to run an optimization for, but the problem is that the optimization will be done for each selected asset individually and not give me the best parameters for the whole set of parameters.
For example, if I select the stocks DOW30 as underlying instruments I dont really want to know which values would be best for AAPL, AMGN, BA, etc. individually, but which values would lead to the profit factor or whatever I am optimizing an for alle values combined. Can that be done via Ninjatrader?

Kind regards and thanks in advance

[NinjaTrader_ChelseaB]

Hello funtra513,

By assets do you mean instruments?

You can run a backtest or optimization on an instrument list.

https://ninjatrader.com/support/helpGuides/nt8/basket_test.htm

[funtra513]

Hello,

yes, I mean instruments.
Yes sure, it is possible to run an optimization on an instrument list, but then I get the optimized parameters for each instrument individually, but I would like to know which parameters would have been the best choice for the whole set combined. Is that possible?

[NinjaTrader_ChelseaB]

Hello funtra513,

No, this would not combine the instruments. Each optimization and backtest is separate.

You can add instruments to a single strategy with AddDataSeries() and these would be combined.

https://ninjatrader.com/support/helpGuides/nt8/adddataseries.htm

[funtra513]

Hi,

but adding another data series can only be used to apply some conditions to a strategy and not to open trades within the other series right? So for example I if apply the strategy to AAPL and add AddDataSeries(MSFT....) its not possible to open trades in MSFT using this strategy?

[NinjaTrader_ChelseaB]

Hello funtra513,

Orders can be placed to other series by using the BarsInProgress index of that series.

EnterLong(int barsInProgressIndex, int quantity, string signalName)

https://ninjatrader.com/support/helpGuides/nt8/enterlong.htm