New field to optimize on

[pstrusi]

Hi Ninjas,

One crucial aspect of any Algo is achieving a reliable and constant performance. This is not an easy task and certainly optimizing models just maximizing profits is not a guarantee to get a proper configuration set of an Algorithm, so I've been thinking that adding a new field could help a lot developers besides it will give a NinjaTrader a better name yet.

What I refer to is simply add this field, "Maximizing number of days with profit" ( or a shorter name that means the same ). So when an optimization is required, NT Strategy Analizer will try to find the "input configuration of any Algo" that maximize the number of positive days, that's it.

What do you think? should it be great to have that tool?

Thanks

[NinjaTrader_Jesse]

Hello,

Thank you for the details on this idea.

While I cant say that the developers will implement this or not I will submit a feature request to them so they can look at your comments here and determine if this would be a item that could be implemented. If this is implemented this would be for a future version of NinjaTrader.

If you have any additional details on this idea feel free to edit the post as it takes a small amount of time to get the feature request in.

And as always we appreciate the feedback on these items as you the trader will be in turn be using this platform.

Please let me know if I may be of additional assistance.

[pstrusi]

Thanks Jesse for the quick response. I hope this new tool could be added because it would really help a lot to Algo developers. If you think about the internal logic of this field, it doesn't seem difficult to program it; let me explain:

The Strategy Analizer would calculate results with different input sets of backtesting, counting the number of days,months...etc ( any period wanted ) that are the maximum number, regardless the level of profit, that's it.

NT team is a great team and for sure you have already a great and complete tools of code, is just assembly this simple logic. Maybe I sound naive cause I'm not a professional programmer, I apologize for that.

Thanks for your attention

[pstrusi]

Hello,

Thank you for the details on this idea.

While I cant say that the developers will implement this or not I will submit a feature request to them so they can look at your comments here and determine if this would be a item that could be implemented. If this is implemented this would be for a future version of NinjaTrader.

If you have any additional details on this idea feel free to edit the post as it takes a small amount of time to get the feature request in.

And as always we appreciate the feedback on these items as you the trader will be in turn be using this platform.

Please let me know if I may be of additional assistance.

I've been reading this old post:

http://ninjatrader.com/support/forum/showthread.php?t=67961&highlight=Max.+time+recover

which is pretty interesting cause the member called "Flonkle" achieved to develop a new optimization criteria based in a NT strategy analyzer's parameter widely known a Max.Time to recover. This native parameter is interesting to me cause it might close to what I've originally requested in this post, which is developing a simple criteria:

Maximize the number of profit-days vs losses-days

Max. Time to recover basically tell how long is needed to recover from Drawdown ( from peak to peak ); however this parameter will always be impacted for the Profit/Losses values, regardless the number of days.

That being said, I'd like to ask for some orientation, examples that might help me to develop this feature. Since I'm not a very advanced programmer, I'd like to know if this is achievable for persons of my level.

Thanks in advance

[NinjaTrader_Jesse]

Hello,

Thank you for the reply.

You could certainly do the same in creating your own OptimizationType, with NinjaTrader 7 these were never fully supported so there is no documentation on this topic to provide.

You could look at the existing examples though, also it looks like in the post you linked there is a very simple OptimizationType posted to download. You could use that as a starting point or see the existing ones which are located in the : Documents\NinjaTrader 7\bin\Custom\Type\ folder, one is named @MaxAvgProfit as an example.

You would need to edit these either by placing the file in the indicators folder, or out side of NinjaTrader while in the Type folder as these are not an option from the interface.

I look forward to being of further assistance.

[pstrusi]

Hi Jesse, thanks for the response.

Yes, like I've said, I was reading that post with its examples; but as you must have noticed, I intend to create a new metric ( Profit-Days Vs Loss-Days ) for optimizations, and not just adding an already existing one into a optimization. I hope you understand my intention and therefore if you have additional suggestions about my goal, I'd be glad to hear it.

Thanks in advance

[NinjaTrader_Jesse]

Hello,

If you need the logic to be executed as an OptimizationType or an item you can select from the dropdown menu in an optimization, the previous answer would still stand. You would not be inserting logic into a existing script but creating your own, the exiting scripts would just be used as a starting point for your own custom programming. Any OptimizationType you place in the Types folder would show up in the interface once compiled.

You can actually create any of the items you see in the Types folder, not just OptimizationType, there are OptimizationMethods which control the actual optimization, FillTypes, BarTypes, ChartStyles and more but none of these are documented for NT7 as they are advanced programming tasks and were not included in the general user interface.

You can execute logic in these scripts as needed so long as the data required is available in the type you are using or calculation being done logically makes sense.

Using any of the types as a starting point is generally the easiest way to go, you can duplicate the file and just change very few items like the Class name and re compile to see it listed, from there you can start working on your custom logic.

I look forward to being of further assistance.

[pstrusi]

Thank you very much for your indications.