collect stats on optimization run

[trader3000a]

Hi,
I want to run an optimization, and print statistics on each trade to the output window. Do you have an example of how to do that without getting duplicate stats every bar update? I want to be able to export the data for further analysis in a table format. The stats that NT gives in the analyzer window aren't calculated the way I want.
thanks,
David

[QuantKey_Bruce]

Have you considered using a custom optimization fitness function? Or, you could write out the data you want to a file at the end of each iteration.

[trader3000a]

Is the ability to write a custom optimization fitness function a feature in NT?

[QuantKey_Bruce]

Sure. https://ninjatrader.com/support/help...on_fitness.htm

Look in Documents -> NinjaTrader 8 -> bin -> Custom -> OptimizationFitnesses to see how the inbuilt ones work to get an idea.

[NinjaTrader_ChrisL]

Hello, thanks for writing in. An optimization fitness would not be the best place to do this. Use the Terminal state in the strategy itself within OnStateChanged:

else if (State == State.Terminated)
{
if(SystemPerformance.AllTrades.Count > 0)
Print("TERMINAL " + SystemPerformance.AllTrades.TradesPerformance.NetP rofit);
}

[trader3000a]

Hi,
I like both ideas for different reasons.
Is there a way to view the code for the various PerfromanceMetrics? I want to write my own and call it when I like.
Thanks Bruce and Chris!

[NinjaTrader_ChrisL]

Hi, the code for the performance metrics is not open, but you can create your own. See the "Performance Metrics" folder in the NinjaScript Editor for an example.

[trader3000a]

Hi ChrisL,
The suggestion you gave me only prints data on or for for the very last trade of the series.For example (within on state change) :

else if (State == State.Terminated)
{

if (SystemPerformance.AllTrades.Count > 1 )
{

Trade lastTrade = SystemPerformance.AllTrades[SystemPerformance.AllTrades.Count - 1];
if(SystemPerformance.AllTrades.Count > 1)
Print("TERMINAL " + SystemPerformance.AllTrades.TradesPerformance.NetP rofit);
Trade lastTrade = SystemPerformance.AllTrades[SystemPerformance.AllTrades.Count - 1];
double lastProfitCurrency = lastTrade.ProfitCurrency;
Print("lastProfitCurrency = " + lastTrade.ProfitCurrency);
}
}

Only prints:

a value representing the aggregate net profit of all trades
a value representing the net profit of the very last trade in the series


I'm looking for a way to print data for each trade in the series. How do I print data for each trade?
thanks,
David

[NinjaTrader_ChrisL]

Hi David, You wil need to iterate through the entire collection. Please first read the documentation on the SystemPerformance class:

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?systemperformance.htm

This is a handful of collections that contain Trade objects.

foreach(Trade T in SystemPerformance.AllTrades)
{
//get information about Trade T
}

[trader3000a]

Hi Chris,
That method still prints duplicates of the last trade stats on every bar update. I only want 1 output line of stats per trade (like the analyzer does it).
thanks,
David

[NinjaTrader_ChrisL]

Hi, Iterating through this array in State.Terminated will iterate for each optimization iteration. Your code will need to be set up such that it will only print once. You can do this using C# logic such as boolean flags.

[NinjaTrader_ChrisL]

This snippet is not printing out anything twice:

else if (State == State.Terminated)
            {
                if(SystemPerformance.AllTrades.Count > 0)
                {
                    Print("Optimization Iteration Complete");
                    foreach(Trade T in SystemPerformance.AllTrades)
                    {
                        Print("Trade info " + T.ProfitCurrency);
                    }
                }
            }​

[trader3000a]

cool, I'll try it, thx

[trader3000a]

amazing. you are the g.o.a.t.

[trader3000a]

Hi Chris,
1 last issue. I've uploaded the script which has a basic entry and a few prints.
Test date is 05/04/2020
Data series is ES JUN23, 5 minute bars


If I run a backtest with "BarsToHold" set at 100, I get the result from the output window we expect:

Optimization Iteration Complete
__________________
5/3/2020 6:05:00 PM
Trade info 1212.5
MFE 1912.5
MAE 262.5
Basic Excursion Ratio 7.31

__________________
5/3/2020 6:05:00 PM
Trade info 587.5
MFE 1062.5
MAE 650
Basic Excursion Ratio 1.61

__________________
5/3/2020 6:05:00 PM
Trade info 1000
MFE 1412.5
MAE 450
Basic Excursion Ratio 3.11


However, if I run an optimization with "BarsToHold" set for a range of 100 - 200 and increment of 100 (expecting 2 sets of trades), we get 4 sets of trades from the output window, the final 2 sets being a duplicate of the first 2 sets

Optimization Iteration Complete
__________________
5/3/2020 6:05:00 PM
Trade info 1212.5
MFE 1912.5
MAE 262.5
Basic Excursion Ratio 7.31

__________________
5/3/2020 6:05:00 PM
Trade info 587.5
MFE 1062.5
MAE 650
Basic Excursion Ratio 1.61

__________________
5/3/2020 6:05:00 PM
Trade info 1000
MFE 1412.5
MAE 450
Basic Excursion Ratio 3.11

Optimization Iteration Complete
__________________
5/3/2020 6:05:00 PM
Trade info 1812.5
MFE 2075
MAE 262.5
Basic Excursion Ratio 7.91

__________________
5/3/2020 6:05:00 PM
Trade info 887.5
MFE 1300
MAE 562.5
Basic Excursion Ratio 2.31

Optimization Iteration Complete
__________________
5/3/2020 6:05:00 PM
Trade info 1212.5
MFE 1912.5
MAE 262.5
Basic Excursion Ratio 7.31

__________________
5/3/2020 6:05:00 PM
Trade info 587.5
MFE 1062.5
MAE 650
Basic Excursion Ratio 1.61

__________________
5/3/2020 6:05:00 PM
Trade info 1000
MFE 1412.5
MAE 450
Basic Excursion Ratio 3.11

Optimization Iteration Complete
__________________
5/3/2020 6:05:00 PM
Trade info 1812.5
MFE 2075
MAE 262.5
Basic Excursion Ratio 7.91

__________________
5/3/2020 6:05:00 PM
Trade info 887.5
MFE 1300
MAE 562.5
Basic Excursion Ratio 2.31

How would we eliminate the duplicates of the 2 optimization runs?
thanks,
David