Optimizing Indicator Parameter Settings for highest RSquared (not Strategy P/L)

[yertle]

Hi,

I am building an indicator, and i want to optimize its parameters, to get the highest output of a signal.(not optimize based on strategy results)

Is it possible to optimize the indicator parameters, for a specific signal output? rather than optimize the a Strategy P/L?

Any help appreciated, thanks.

[NinjaTrader_Jesse]

Hello yertle,

I wanted to clarify your use of optimize here, are you asking to use the strategy analyzer tool to optimize an indicator parameter for an indicator that your strategy is using?

[yertle]

yeah, I dont have a strategy as yet, right now i'm building the indicator.
But it has several parameters, like ema periods that i can adjust.

and i want to use R^2 to figure out which parameter settings are the closest fit to the 1 minute data.

Is there an existing approach for this?

[NinjaTrader_Jesse]

Hello yertle,

Besides just changing your parameters and reloading the indicator to see the result there would not be a way to optimize an indicator directly. The optimizer that comes with NinjaTrader is strictly for strategies, a strategy would need to place trades for its performance to be calculated and to have the optimized results displayed.

For this type of situation you would have to make your indicator work in general and ensure it has some user inputs to control the values you wanted to optimize. Then make a simple strategy that uses the indicator in whatever way you will end up using it. After doing that you could make user inputs in the strategy and pass those values to the indicator so when the optimizer is optimizing the strategies parameters it is instead changing the indicators parameters. A simple example of this would be the SampleMACrossOver strategy, its fast and slow inputs are passed to the SMA indicators it uses.

[yertle]

ok, it sounds like i need to build something that iterates over the indicator

Thanks for the info..