Optimiser Type

[dgregor5]

Hi - is it possible to use different optimiser types with NT? if so, who are the best people to contact to develop the appropriate methodologies - I am particularly interested in Genetic Algorithms.............

thx
David

[NinjaTrader_Dierk]

Unfortunately NT only supports the brute force optimization (testing all possible parameter combinations).

[dgregor5]

is not possible to use a 3rd party algorithm that can be incorporated into NT ?

[NinjaTrader_Dierk]

Unfortunately not

[dgregor5]

any plans ?

[NinjaTrader_Dierk]

Not right now

[vtaran]

It's quite easy to replace default brute force optimizer. Override Optimize() method in class derived from OptimizationMethod.
Use Documents\NinjaTrader6\bin\Custom\Type\@DefaultOpt imizationMethod.cs file as a sample. I use Monte Carlo (random) time-limited optimizer. Finds good parameters much faster.

[dgregor5]

vtaran
thx for the reply. I am aware that it is possible to change the optimiser type in NT, but was not aware of any available NT alternatives (until the System Quality Number thread here in the Support Forum). Do you have details of the Monte Carlo optimiser that you are using, i.e. where did you get it from? is it specific to NT, costs, etc.).

many thx in advance
David

[Pete S]

There's a difference between Optimizer and OptimizerType. The Optimizer runs the actual test, has the ability to select which parameters to use, etc. The OptimizerType (e.g. the SQN I posted) ranks the result from one iteration. You are interested in the Optimizer.

[vtaran]

I wrote optimizer myself. It iterates through parameters not sequentially but randomly for preselected time. If brute force optimization is going to take many hours/days I use random optimizer to narrow the ranges (and often it finds parameters very close to optimal). Than default optimizer can be used for fine tuning if required. Later I will write Genetic optimizer. Don't have much time now. Current version of NT Default (brute force) optimizer is too basic. As a minimum it should be multithreaded.

[dgregor5]

appreciate your comments guys- thx !
David

[zoltran]

vtaran .. would you mind posting your optimiser?

[Jenny]

I am very insterested in this topic too. Can you post your optimizer?
Thanks

[NinjaTrader_Josh]

To get more than the default two optimizer types you will need to do what vtaran did and program your own. The other files in the folder are what you optimize for and not the optimizer type itself.

[Jenny]

Josh,
Thanks for your reply.
IF zoltran or somebody else can give us the optimizer, it would be great.