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MaxUlcerRatio and Long/Short versions optimization fitness incorrect

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    MaxUlcerRatio and Long/Short versions optimization fitness incorrect

    The code for optimizing on the Ulcer Ratio in NT 8.0.0.5 looks incorrect. It is using Sortino ratio.

    namespace NinjaTrader.NinjaScript.OptimizationFitnesses
    {
    public class MaxUlcerRatioShort : OptimizationFitness
    {
    protected override void OnCalculatePerformanceValue(StrategyBase strategy)
    {
    Value = strategy.SystemPerformance.ShortTrades.TradesPerfo rmance.SortinoRatio;
    }

    protected override void OnStateChange()
    {
    if (State == State.SetDefaults)
    Name = NinjaTrader.Custom.Resource.NinjaScriptOptimizatio nFitnessNameMaxUlcerRatioShort;
    }
    }
    }

    #2
    Hello [email protected],

    Thank you for your inquiry.

    I will be looking into this and will return with my findings.
    Zachary G.NinjaTrader Customer Service

    Comment


      #3
      Hello [email protected],

      I just wanted to provide an update that this has been reported to development and we are looking into it.
      Zachary G.NinjaTrader Customer Service

      Comment

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