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Optimize for Max Profit Factor tends to prefer single trade solutions

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  • jmondanaro
    replied
    This seems to be a common edge case for many of the Optimization targets where 0 or 1 trades give the "best" answer but not one that is actually useful. As another example, if you Optimize for minimum draw down, the optimizer will select strategy parameters that result in 0 trades which is not actually useful.

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  • NinjaTrader_PaulH
    replied
    Hi Jason,

    Thanks for your post.

    I will submit a feature request to require a user set minimum number of trades to be considered.

    Thank-you for your suggestion to improve the product.

    Leave a comment:


  • Optimize for Max Profit Factor tends to prefer single trade solutions

    I notice that when trying to Optimize for Net Profit Factor using the genetic algorithm, the system tends to find solutions where a single profitable trade occurs giving the "99" profit factor limit result. I think a single trade should not be viable for such a calculation or it should allow you to set some minimum number of trades as being required.

    -Jason

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