Optimizing on "Min draw down"

[spottysallrite]

Sometimes, when performing the above, the result is having a drawdown of zero. While it would be nice to have a script that can perform that, having a zero drawdown isn't realistic. Indeed, this often results in having only a very few trades. So, would it be possible to allow the user to submit an allowable minimum amount?

[UltraNIX]

you could also add calculation inside Optimization Fitness script, like:
if (number_of_trades < x && max_drawdown == 0)
Value = 0

where:
- number_of_trades = NinjaTrader's formula of trade count (you can get it browsing through various Optimization Fitness scripts, I don't have NinjaTrader up and running, so I couldn't quote exactly)
- x = your int variable to filter out minimum number of trades
- max_drawdown = NinjaTrader's formula for max drawdown.

So I just basically gave you a concept/idea to build from.

[NinjaTrader_BrandonH]

Hello spottysallrite,

Thanks for your post.

The drawdown would be controlled by the executions that were made by the strategy and the market data.

The drawdown is the largest amount of loss reached during the duration of the trade. A long trade where the market only increases and then exits from a profit target is an example of a trade that would have 0 drawdown.

See the help guide documentation below for more information.

https://ninjatrader.com/support/helpGuides/nt8/?statistics_definitions.htm#UnderstandingMaxDrawdown

https://ninjatrader.com/support/helpGuides/nt8/index.html?optimization_fitness_metrics.htm#UnderstandingMinDrawDown

Let us know if we may assist further.

[spottysallrite]

Brandon, your answer tells me nothing -- it's a non-answer, dodging the actual question. Please try again with something constructive and to the actual point.

[NinjaTrader_BrandonH]

Hello spottysallrite,

Thanks for your note.

There are no supported or documented means for setting a minimum drawdown amount when using Optimize on 'Min draw down' in the Strategy Analyzer.

"...having a zero drawdown isn't realistic"

It would be possible to have a minimum drawdown amount of 0 when backtesting/optimizing a strategy in the Strategy Analyzer. An example of having a minimum drawdown of 0 would be as follows:

"A long trade where the market only increases and then exits from a profit target is an example of a trade that would have 0 drawdown."

Let us know if we may assist further.

[spottysallrite]

Ok, so it is possible to modify the Strategy Analyzer so it can do this (ie, allow the user to select an allowable minimum drawdown amount)?

[NinjaTrader_BrandonH]

Hello spottysallrite,

Thanks for your note.

No, the Strategy Analyzer cannot be modified to allow you to set a minimum drawdown amount.

As previously stated: "There are no supported or documented means for setting a minimum drawdown amount when using Optimize on 'Min draw down' in the Strategy Analyzer."

That said, this thread will be open for other forum community members to share their insight on unsupported code that may accomplish this.

Let us know if we may assist further.

[spottysallrite]

Ok, so I'd like to submit a feature modification request for this.

[NinjaTrader_BrandonH]

Hello spottysallrite,

Thanks for your note.

The internal tracking number for your feature request is SFT-5528. 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

Let us know if we may assist further.

[UltraNIX]

Add my vote as well.

[NinjaTrader_BrandonH]

Hello UltraNIX,

Thanks for your note.

Your vote has been added.

Let us know if we may assist further.