Walk-Forward Custom Fitness (How to Eliminate Negative Optimizations) ?

[PrQuantumH]

Dear all,

Is there a way to make the Walk-Forward process to only Forward-Test the Parameters that had a Positive Net-Profit on the optimization?


for example:

Optimization Result # 1 (Best Parameters 5/3/5) +$1000 ==> Forward-Test.
Optimization Result # 2 (Best Parameters 5/2/1) +$2500 ==> Forward-Test.
Optimization Result # 3 (Best Parameters 2/9/6) -$1700 ==> Don't Forward-Test.
Optimization Result # 4 (Best Parameters 4/2/3) +$2500 ==> Forward-Test.
Optimization Result # 5 (Best Parameters 2/8/7) -$4000 ==> Don't Forward-Test.

protected override void OnCalculatePerformanceValue(StrategyBase strategy)
{
       Value = strategy.SystemPerformance.AllTrades.TradesPerformance.NetProfit;
} 

Thank you.

[NinjaTrader_Emily]

Hello PrQuantumH,

Thank you for your post.

I am not aware of a way to make the walk forward optimization only process parameters that had a positive net profit. You could set the optimizer to optimize on max net profit, though there is no way to stop forward testing if the max net profit is a negative number. I have submitted this as a feature request to the Development Team. I will follow up with an internal tracking number for your reference as soon as it is created.

Thanks in advance for your patience.

[PrQuantumH]

Thank you Emily. I would really appreciate adding this feature.

Currently, I'm thinking of coding a workaround for it. Is there a way to know from inside the strategy script (or from the custom Fitness Script) that the currently running test is categorized as Optimization or as a Backtest (Forward-Test).

The initial idea would be, coding a global variable that can allow the next use of the strategy (for a backtest Forward-Test) only if the previous use of the strategy (Optimization) was having a positive Net-Profit.

Regards,

[NinjaTrader_Emily]

Thank you Emily. I would really appreciate adding this feature.

Currently, I'm thinking of coding a workaround for it. Is there a way to know from inside the strategy script (or from the custom Fitness Script) that the currently running test is categorized as Optimization or as a Backtest (Forward-Test).

The initial idea would be, coding a global variable that can allow the next use of the strategy (for a backtest Forward-Test) only if the previous use of the strategy (Optimization) was having a positive Net-Profit.

Regards,

Hello,

Thank you for your note.

Though it is not documented not supported, there is a StrategyBase.Category enum that may be used to determine which mode the strategy is running in from within the Strategy Analyzer. This is mentioned in the following forum post:

https://forum.ninjatrader.com/forum/historical-beta-archive/version-8-beta/80398-how-to-detect-optimization?_gl=1*yroego*_gcl_au*MTcyNDg3MjU4My4xNjg2MTQ3MTc3#post696223

You could try using this in your workaround, though we are unable to guarantee the behavior of using this in your strategy.

Please let us know if we may be of further assistance.

[NinjaTrader_Emily]

Hello PrQuantumH,

Thanks for your patience.

The internal tracking number for your feature request is SFT-6043. Please reference this internal tracking number when contacting Platform Support if you ever have questions regarding this feature request.

When a feature request is implemented, you'll find a description of the new feature in the release notes:

• https://ninjatrader.com/support/help...ease_notes.htm

Thank you for using NinjaTrader.