ToTime() and Times() Optimization for Trades

[tonyh]

Hello:

I am developing code to determine the best trading time(s) each day for an instrument. The code currently uses arrays for storage of trades based on a 1 minute seconday bar series. Thus 390 bars per trading day for stocks (9:30 AM - 4:00 PM). Any ideas on how to set up initial code (if{}, etc.) for testing all combinations of times in a trading day based on the 1 minute secondary bar series?

Thanks,
Tony

[NinjaTrader_Tim]

Hi tonyh,

You could set up your conditions and actions within a time filter...

if (ToTime(Time[0]) >= StartTime && ToTime(Time[0]) <= EndTime)
{

}

where StartTime and ToTime are public variables with initial settings of, for example, "90000" and "StartTime + 500".
More info at - http://www.ninjatrader-support2.com/...ead.php?t=3226

You can then use the optimizer to test for StartTime range from 90000 to 155500, for example.
More info at - http://www.ninjatrader-support.com/H...imizeAStrategy

[tonyh]

SampleTimeFilter

Hello Tim:

I currently use both the IntraBarBacktest and SampleTimeFilter codes provided by NT, as well as BeginTime and EndTime in my program to process and store trades. My initial try was similar to yours, adding to BeginTime and subtracting from EndTime one bar each time through. This obviously shrinks the time period to 12:45 - 12:46 PM as the last optimization , but misses lots of possibilities:

93000 - 160000 93000 - 155900 ... 93000 - 93100
93100 - 160000 93100 - 155900 ... 93100 - 93200
...
155900 - 160000

I was trying to fit each possible scenario into 1 if{} statement to make sure the optimization would cover all possibities. Would a counter be helpful to update BeginTime?

[NinjaTrader_Tim]

Hi tonyh,

This would clearly take a very long time to compute every single minute combination on even one day, let alone several, however, you could do something like...

StartTime = 90000
EndTime = (StartTime + HourOffset) + MinOffset

Then optimize for:
StartTime 90000 - 155900 and
HourOffset 10000 - 60000 and
MinOffset 100 - 5900.

If this is with NinjaTrader 7, consider using the Genetic options for optimizing.

[tonyh]

Long Optimization Times - Genetic Code

I plan on the code optimizing much larger time increments than 1 minute. I was just trying to simplify the code that includes all possible situations and go from there. Based on your comment, I found genetic code is available on the site for large optimization schemes. I use NT6.5.1000.15, not NT7 beta, so I'll start there. Thanks again Tim.