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shodson · 09-29-2009, 04:22 PM

How can I conditionally cancel one of the backtests performed during optimization?

For example, I have 2 parameters I want to optimize on: PT (profit target) and SL (stop loss). And let's say I want to run an optimization with PT from 10-100 and SL from 10-100 and optimize for max profit. However, I don't want any backtests run where SL > PT because I don't like strategies that have a risk-to-reward ratio > 1. Also, this will speed up my optimizations as it doesn't bother backtesting scenarios in that condition. How would I accomplish this in code?

NinjaTrader_Bertrand · 09-30-2009, 06:10 AM

shodson, unfortunately this is not directly supported - as a workaround I would create an input parameter for your needed combinations of target and stop and then optimize this instead of the two individual values.

09-29-2009, 04:22 PM	#1
shodson Member Join Date: May 2009 Posts: 81 Thanks: 1 Thanked 0 times in 0 posts	Cancelling a backtest during optimization How can I conditionally cancel one of the backtests performed during optimization? For example, I have 2 parameters I want to optimize on: PT (profit target) and SL (stop loss). And let's say I want to run an optimization with PT from 10-100 and SL from 10-100 and optimize for max profit. However, I don't want any backtests run where SL > PT because I don't like strategies that have a risk-to-reward ratio > 1. Also, this will speed up my optimizations as it doesn't bother backtesting scenarios in that condition. How would I accomplish this in code?
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09-30-2009, 06:10 AM	#2
NinjaTrader_Bertrand NinjaTrader Customer Service Join Date: Sep 2008 Location: Germany Posts: 22,384 Thanks: 252 Thanked 967 times in 950 posts	shodson, unfortunately this is not directly supported - as a workaround I would create an input parameter for your needed combinations of target and stop and then optimize this instead of the two individual values. Bertrand NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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