Optimizer relation to State.Configure

[nrgful]

Hello,

I need to write a strategy that is optimized by the StartegyAnalyzer Optimization. I also want to optimize my strategy by a time-frame.
As I know AddDataSeries is best to be invoked in State.Configure.

My questuons are:

1. Is State.Configure invoked on every Optimizer iteration?
2. If it is not, how can I load different data series on every Optimization iteration?
3. Is there a relation between IsInstantiatedOnEachOptimizationIteration property and the State.Configure?

Any other advices on how to invoke AddDataSeries on every optimization iteration are welcome.

Best wishes.

[NinjaTrader_ChelseaB]

Hello nrgful,

Only the primary series interval can be optimized.
"Optimize data series" - https://ninjatrader.com/support/help...tionProperties

NinjaTrader does not support using variables in AddDataSeries() that can change dynamically as this will break optimizations.

"Arguments supplied to AddDataSeries() should be hardcoded and NOT dependent on run-time variables which cannot be reliably obtained during State.Configure (e.g., Instrument, Bars, or user input). Attempting to add a data series dynamically is NOT guaranteed and therefore should be avoided. Trying to load bars dynamically may result in an error similar to: Unable to load bars series. Your NinjaScript may be trying to use an additional data series dynamically in an unsupported manner."

https://developer.ninjatrader.com/docs/desktop/adddataseries

"As I know AddDataSeries is best to be invoked in State.Configure."

AddDataSeries() does need to be called from State.Configure.


"1. Is State.Configure invoked on every Optimizer iteration?"

When IsInstantiatedOnEachOptimizationIteration is false, OnStateChange() will update with State.Configure for each iteration. When IsInstantiatedOnEachOptimizationIteration is true, OnStateChange() will not update with State.Configure for each iteration.


"2. If it is not, how can I load different data series on every Optimization iteration?"

You are only able to optimize the primary series with the 'Optimize data series' option.


"3. Is there a relation between IsInstantiatedOnEachOptimizationIteration property and the State.Configure?"

When IsInstantiatedOnEachOptimizationIteration is false, OnStateChange() will update with State.Configure for each iteration. When IsInstantiatedOnEachOptimizationIteration is true, OnStateChange() will not update with State.Configure for each iteration.


"Any other advices on how to invoke AddDataSeries on every optimization iteration are welcome."

Unfortunately, this is not supported.

[nrgful]

Thank you very much for your detailed answer.

And what about an Indicator parameters?
I have custom indicator written by myself. I also want to dinamically update indicator parameters during each optimizer iteration.

Is it possible for my indicator parameters to be updated during State == State.DataLoaded or some other state?

Best wishes

[NinjaTrader_ChelseaB]

Hello nrgful,

Yes, indicator methods can be called with different parameters.

Note, within indicators any calls to AddDataSeries() cannot use variables.

[nrgful]

@NinjaTrader_ChelseaB Is it appropriate to set the new indicator parameters on the new optimizer iteration in State.DataLoaded ?

[NinjaTrader_ChelseaB]

Hello nrgful,

Yes, indicators can be called from State.DataLoaded with any new parameters.