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Feature request: Single objective Optimization with multiple constrained metrics

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    Feature request: Single objective Optimization with multiple constrained metrics

    The Optimization feature in the Strategy Analyzer is great, but sometimes it gives unrealistic/non-practical results after hours of running the Optimization. Below screenshot shows an example where the top 40 optimal parameters results of optimizing for "Max. net profit" are 100% profitable and $0 gross loss. These optimal parameters only took ~1-3 trades over the range of 2 months.

    Feature request: Optimize for a single performance metric (i.e. single objective), however allow us to provide multiple constraints on other performance metrics.
    Examples:
    • Example 1: Optimize for "Max net profit" where constraints are as follows:
      • Total net profit >= some value
      • R^2 >= some value
    • Example 2: Optimize for "Max % profitable" where constraints are as follows:
      • R^2 >= some value
      • Gross loss <= some value
      • Total net profit >= some value
    This feature request would amazingly complement with another feature request I posted about: Feature request: Additional metrics for sorting in results column of Optimization

    Click image for larger version

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    #2
    It makes sense. Given this capability, I would probably constrain for # trades >= 30 or something like that, as a start, so that I'm only looking at statistics that have some degree of significance. Yes, this can be done with a custom performance measurement, but it's really a basic feature that should not require programming.
    Bruce DeVault
    QuantKey Trading Vendor Services
    NinjaTrader Ecosystem Vendor - QuantKey

    Comment


      #3
      Hello wzgy0920,

      Thanks for your post.

      I have submitted your feature request to the Development team so they may consider it in future releases of NinjaTrader.

      This request is being tracked under the number SFT-6149.

      As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted on the Release Notes page of the Help Guide.

      Release Notes — https://ninjatrader.com/support/help...ease_notes.htm
      Brandon H.NinjaTrader Customer Service

      Comment


        #4
        Originally posted by QuantKey_Bruce View Post
        It makes sense. Given this capability, I would probably constrain for # trades >= 30 or something like that, as a start, so that I'm only looking at statistics that have some degree of significance. Yes, this can be done with a custom performance measurement, but it's really a basic feature that should not require programming.
        Thank you for your support. Can you explicitly mention you vote in favor of this feature request since NT determines priority based on number of votes from users. Also, if you feel my other feature request is also a feature you would like to see, can you also vote https://forum.ninjatrader.com/forum/...f-optimization

        Comment


          #5
          Yes, I vote in favor of this feature request.
          Bruce DeVault
          QuantKey Trading Vendor Services
          NinjaTrader Ecosystem Vendor - QuantKey

          Comment


            #6
            Hello QuantKey_Bruce,

            Thanks for your note.

            Your feature request vote was added along with wzgy0920's vote.

            Thanks for choosing NinjaTrader!
            Brandon H.NinjaTrader Customer Service

            Comment

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