Allow users to use Max Time to Recover as optimization criterion

[flonkle]

This should be a fairly quick and easy addition to make...

It would be great if NinjaTrader allowed users to specifiy "Max Time to Recover" as the criterion used for optimization.

Obviously, we would want to minimize this metric in our optimizations.

This would be somewhat useful for brute-force optimization, but it would be EXTREMELY useful for genetic optimization.

[NinjaTrader_RyanL]

Hello flonkle,



Thank you for your support forum post and for providing your feedback as we continually strive to improve upon NinjaTrader's features.

Since the type of functionality you are seeking is not presently supported within NinjaTrader for optimization, I have documented this particular feature request for "Max time to recover" as an available parameter and have sent it to our product development team.


Once I have a tracking ID for this particular feature request, I will let you know.

[flonkle]

Thanks to koganam for pointing me to the below thread which talks about how you can already write your own custom fitness-function/optimization-criterion for NT7:

http://www.ninjatrader.com/support/forum/showthread.php?p=231236

With that in mind, it was pretty simple to write a fitness-function/optimization-criterion that minimizes Max. Time to Recover.

I have attached the code that implements this fitness-function/optimization-criterion to this post, so anyone can use it. The attached code expresses the Max. Time to Recover in units of days.

Just place the attached code file in the same directory where you place custom fill types (mydocuments/ninjatrader7/bin/custom/type/), and then open any NT indicator or strategy and compile it.

After that, this custom fitness-function/optimization-criterion should show up in your list of possible optimization criteria to "Optimize on..." in the Strategy Analyzer. It will be listed as:

"min. max time to recover"

One caveat... since the optimizer automatically tries to maximize all the optimization criteria values (even "min. drawdown" maximizes the negative number used to represent drawdown), this code expresses the "Max. Time to Recover" as a negative number. In this way, the maximum value really represents the shortest recovery time.

Except for that small caveat, the simple code file attached below provides just the functionality I was requesting with this post.

[NinjaTrader_RyanL]

Hello flonkle,


I have heard back from development and the suggestion to have a Max Time to Recover as an available parameter for optimization in the Strategy Analyzer is being tracked with ID# 2405.