Custom Optimization

[jg123]

Hello

I am starting to look into creating custom criteria for optimization and need a bit of direction.

I have looked at the script files for the available default optimizations to get a feel for how it is to work. The actual script for that element looks to be incredibly straightforward. But, I do not see where it pulls certain calculations from. For example, optimizing for the Sharpe Ratio simply says

return systemPerformance.AllTrades.TradesPerformance.SharpeRatio;

Clearly there needs to be a place that NT is storing the calculation for the Sharpe Ratio and therefore additional code needs to be written and placed in a file somewhere.

Can you please point me in the right direction of starting to write my own optimization?

Thank you very much for your help!

[NinjaTrader_PatrickH]

Hello jg123,

Thank you for your post.

The calculation can be viewed at the following link: http://www.ninjatrader.com/support/h...efinitions.htm

There is no code or file available that details this calculation.

[jg123]

Hi Patrick

Unfortunately, I didn't quite write very clearly what I am after. I apologize for that.

I actually am not specifically looking for the Sharpe Ratio calculation. I was attempting to use that as an example to bring clarity to what I was looking for.

I am trying to create my own custom Optimization via NinjaScript. I noticed, as I was looking through all of the default optimizations' code, that there were no calculations within the script. My assumption was then that calculations do not belong in this optimization script; but, instead, are somewhere else and then referenced from the optimization script.

I am looking for information on how to create my own optimization from scratch.

[NinjaTrader_CalH]

Hello Jg123,

Custom Optimizations are not supported with NinjaTrader.
If you are interested in creating one, you would need to take a look at the current optimizations available by going to (My) Documents -> NinjaTrader 7 -> bin -> Custom -> Type
There are two, @DefaultOptimizationMethod and @GeneticOptimizer

[koganam]

Hi Patrick

Unfortunately, I didn't quite write very clearly what I am after. I apologize for that.

I actually am not specifically looking for the Sharpe Ratio calculation. I was attempting to use that as an example to bring clarity to what I was looking for.

I am trying to create my own custom Optimization via NinjaScript. I noticed, as I was looking through all of the default optimizations' code, that there were no calculations within the script. My assumption was then that calculations do not belong in this optimization script; but, instead, are somewhere else and then referenced from the optimization script.

I am looking for information on how to create my own optimization from scratch.

Are you asking about optimization criteria, or optimization method?

[jg123]

Hi Cal

Actually I am not trying to create a new method of optimization, such as Simulated Annealing or Multipoint Hill Climbing or any of those. I am happy to, for now, continue using the Default and Genetic optimizations. My question is about creating a criteria with which to optimize for. Such as, in the example, one can optimize for the best Sharpe Ratio or lowest drawdown, etc. I want to tell NinjaTrader, "Please optimize for xyz..." It can use the Default or Genetic optimizer.

So, my question is, where do I create this optimization?

[jg123]

Koganam, I asking about the criteria. That is probably the better way of asking it. Thank you for the clarification.

[koganam]

Koganam, I asking about the criteria. That is probably the better way of asking it. Thank you for the clarification.

There are quite a few threads and examples in this forum of that. Here are some:

ref: https://www.ninjatrader.com/support/...ad.php?t=67962

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

This one actually has 2 custom fitness functions that you can grab for study and use: http://www.ninjatrader.com/support/f...ad.php?t=39493