Optimizing on Time

[bchip]

Hi

Struggling a bit with this, I'm trying to optimize on time - so the system buys @ 9:00am or 10:00am etc
The strategy works fine with default values but once I tried to optimize I realized I could not.

So it seems I can optimize on integers but not time, so I changed the code in if (State == State.SetDefaults)
to go from
OpenTime = DateTime.Parse("09:00", System.Globalization.CultureInfo.InvariantCulture) ;
CloseTime = DateTime.Parse("14:00", System.Globalization.CultureInfo.InvariantCulture) ;


Didnt work:
OpenTime = new DateTime( 2018, 01, 01, OptimStr, 0, 0);
CloseTime = new DateTime( 2018, 01, 01, OptimStp, 0, 0);

I also tried this - but also didnt work
OpenTime = DateTime.Parse("00:00", System.Globalization.CultureInfo.InvariantCulture) .AddHours(OptimStr);
CloseTime = DateTime.Parse("00:00", System.Globalization.CultureInfo.InvariantCulture) .AddHours(OptimStp);


What does work:
OpenTime = new DateTime( 2018, 01, 01, 9, 0, 0);
CloseTime = new DateTime( 2018, 01, 01, 14, 0, 0);

How come if the 14 is changed from 14 to "OptimStp" then it stops working?
The values on the Strategy Analyser is 9 and 14 as well.
Everytime I try to print out anything the Output window clears if I run the backtest so I can never seem to print out to a log.


Indicator code:
[NinjaScriptProperty]
[Range(0, 24)]
[Display(Name="OptimStr", Description="OptimStr", Order=1, GroupName="Parameters")]
public int OptimStr { get; set; }

[NinjaScriptProperty]
[Range(0, 24)]
[Display(Name="OptimStp", Description="OptimStp", Order=2, GroupName="Parameters")]
public int OptimStp { get; set; }

[NinjaTrader_Jim]

Hello bchip,

Thanks for your post.

Where else are updating your DateTime variables? If you are only setting these in State.SetDefaults, I would not expect this to effect the optimization. If you update your DateTime variables in OnStateChange under State.DataLoaded or State.Configure, I would expect these variables to be updated from the Optimizer. SetDefaults is simply used to assign default parameter values, so they will not update as the optimization modifies a variable.

If you are seeing something different, could you attach a simple example that demonstrates what you have set up exactly?

I look forward to being of further assistance.

[bchip]

Hi

Yes my problem was that the values for OptimStr & OptimStp was in the State.SetDefaults
I changed it to State.Configure and it works now.

Thank you

[NinjaTrader_ChelseaB]

A working example for the community on optimizing time.