Optimizing on BarsArray with MultiData Strategies

[tornadoatc]

Hello,

I am getting errors when I try to optimize a MultiData Strategy where i am using variables for the AddDataSeries statements.

For instance in State.Configure :

AddDataSeries(BarsPeriodType.Tick, BarsPeriod.Value / PeriodFactorVariable);

I believe I was able to do this effectively in NT7. But in NT8B10 I am receiving the following error when I try to optimize:

2016-04-15 16:41:03:969 ---- DEBUG ASSERTION FAILED ----
---- Assert Short Message ----
NinjaScript.NinjaScriptBase.InitializeBarsPool: callback == null
---- Assert Long Message ----

   at NinjaTrader.NinjaScript.NinjaScriptBase.InitializeBars(Bars[] barsArray, IProgress progress, Action`1 callback)
   at NinjaTrader.NinjaScript.Optimizers.Optimizer.RunBacktest(StrategyBase template, Parameter[] parameters)
   at NinjaTrader.NinjaScript.Optimizers.Optimizer.<>c__DisplayClass67_0.<WaitForIterationsCompleted>b__0()
   at System.Windows.Threading.ExceptionWrapper.InternalRealCall(Delegate callback, Object args, Int32 numArgs)

Interestingly, no errors are generated when I just run a single backtest (i.e. the Bars Array is created correctly and the backtests completes correctly).

Any reason I am unable to do this in NT8?

Thanks,
ATC

[NinjaTrader_Matthew]

Hello,

I am getting errors when I try to optimize a MultiData Strategy where i am using variables for the AddDataSeries statements.

For instance in State.Configure :

AddDataSeries(BarsPeriodType.Tick, BarsPeriod.Value / PeriodFactorVariable);

I believe I was able to do this effectively in NT7. But in NT8B10 I am receiving the following error when I try to optimize:

Interestingly, no errors are generated when I just run a single backtest (i.e. the Bars Array is created correctly and the backtests completes correctly).

Any reason I am unable to do this in NT8?

Thanks,
ATC

Bars/Instrument objects are not guaranteed to be loaded until at least State.DataLoaded.

i.e., BarsPeriod.Value

http://ninjatrader.com/support/helpGuides/nt8/en-us/barsperiod.htm

They may be available from a standard backtest, but as you have encountered, accessing those objects in an earlier state may be problematic and should not be relied upon.

NT7 has similar issues for similar reasons and we never recommended using these types of properties in Initialize()

The implications of such behavior prevents you from dynamically loading a bars series through AddDataSeries() based on the current selected input. While it may work in some situations, it is not guaranteed and should be avoided.

[tornadoatc]

Hello Matthew,

And this is a perfect example as to why the ability to script optimizations would be very helpful.

For instance via a json configuration file as metioned here:

http://ninjatrader.com/support/forum/showthread.php?t=82353

Please let me know when that is ready! Your competitor has the lead in this area!

Thanks,

[tornadoatc]

Bars/Instrument objects are not guaranteed to be loaded until at least State.DataLoaded.

i.e., BarsPeriod.Value

http://ninjatrader.com/support/helpGuides/nt8/en-us/barsperiod.htm

They may be available from a standard backtest, but as you have encountered, accessing those objects in an earlier state may be problematic and should not be relied upon.

NT7 has similar issues for similar reasons and we never recommended using these types of properties in Initialize()

The implications of such behavior prevents you from dynamically loading a bars series through AddDataSeries() based on the current selected input. While it may work in some situations, it is not guaranteed and should be avoided.

Hello Matthew,

I took another look at this. I am getting the same error in all scenarios where I use anything other than a fixed scalar value.

Meaning I get the same error when I use either

[COLOR=blue]var[/COLOR] myBarPeriod = 3350 * SI_LTCPeriodFactor; 
 AddDataSeries([COLOR=#2b91af]BarsPeriodType[/COLOR].Tick, myBarPeriod);

OR

[COLOR=blue]const[/COLOR] [COLOR=blue]int[/COLOR] myBarsPeriod2 = 7000;  
 AddDataSeries([COLOR=#2b91af]BarsPeriodType[/COLOR].Tick, myBarsPeriod2);

Why would neither of these work ? Just by switching from Backtest to Optimization run both fail. The AddDataSeries only works when the value is a scalar as in

 AddDataSeries([COLOR=#2b91af]BarsPeriodType[/COLOR].Tick, 7000);

Is this expected behavior? Thanks,

[NinjaTrader_ChelseaB]

Hello tornadoatc,

The methods used in NinjaTrader use specific types in the overload parameters.

What happens when you declare your variable as an int, as required by the overload parameters?

int aValue = 10;
int myValue = aValue * 2;
AddDataSeries(BarsPeriodType.Tick, myValue);

Are you certain that SI_LTCPeriodFactor is an int and is able to print a value before being used?

[NinjaTrader_ChelseaB]

Hello tornadoatc,

I'm not sure what the SI_LTCPeriodFactor is or what value this is holding so I am not able to test this.

However, I've tested using const int and this appears to work without any issue.
I've made a test script. Can you confirm if this script is causing an error on your end?

[tornadoatc]

Hello Chelsea,

First, I am adding the Data Series in a strategy and the error is only generated when I switch from "Backtest" to "Optimize" in the Strategy Analyzer.

The following works fine in a backtest but when I attempt to optimize the variable SI_LTCPeriodFactor I get the Assertion Error:

[FONT=Consolas][SIZE=2][FONT=Consolas][SIZE=2]
 AddDataSeries([/SIZE][/FONT][/SIZE][/FONT][FONT=Consolas][SIZE=2][COLOR=#2b91af][FONT=Consolas][SIZE=2][COLOR=#2b91af][FONT=Consolas][SIZE=2][COLOR=#2b91af]BarsPeriodType[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Consolas][SIZE=2][FONT=Consolas][SIZE=2].Tick, ([/SIZE][/FONT][/SIZE][/FONT][FONT=Consolas][SIZE=2][COLOR=#0000ff][FONT=Consolas][SIZE=2][COLOR=#0000ff][FONT=Consolas][SIZE=2][COLOR=#0000ff]int[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Consolas][SIZE=2][FONT=Consolas][SIZE=2])(3350 * SI_LTCPeriodFactor));
[/SIZE][/FONT][/SIZE][/FONT]

Basically I am trying to optimize a multi Data Series Strategy where LTC represents a Longer Term Chart that is used to filter trading decisions.

This should work. I am almost certain that I had this working / optimizing in NT7.

Thanks for your help.

[NinjaTrader_ChelseaB]

Hello tornadoatc,

You will not be able to optimize a parameter that is being used in the AddDataSeries() method.

All data is loaded before the optimizations begin. By changing the series this would require that different data be loaded which causes the crash.

So the AddDataSeries() cannot use values that are optimized or changed dynamically.