Coding a strategy not to run based on parameters?

[darckeen]

I'm wondering if there is a way to code into the init of a strategy for it not to run when some conditions based off the parameters are not met. An example would be if you were running an optimization on a moving average cross system with parameter sub sets that intersect and you didnt want the optimizer to run iterations where the short period was higher then the long period.

[NinjaTrader_JoshP]

darckeen,

You would not want to place such logic in Initialize(). Instead you can just try returning out of OnBarUpdate(). It won't completely stop the backtesting of that iteration, but it will skip all of your logic which will make it go by relatively fast.

[darckeen]

Can i code the logic check in the init, set a global bool, and then return out in the barupdate so i dont need to check the parameters every new bar?

[NinjaTrader_JoshP]

darckeen,

Logic is not recommended to be placed in Initialize() because Initialize() is called several times at various points as you try to start up your strategy. From our past experience it generally causes issues with people's code. If you want to mess around in there you can, but we do not support it.

[Nyboe]

Josh,

Your original reply was pretty clear, but I want to ask this again b/c my optimizing has A LOT of iterations...I have 5 variables with values like 2..4; 2..32; -32..32; etc. -- it ends up being 300,000+ iterations.

The thing is there are plenty of iterations that make no sense, so in my OnBarUpdate() code I am skipping it if "VAR1 > VAR2", etc.

BUT I would really like to just skip that iteration altogether - and it seems like the Initialize step is the right place. Is there really no code I can run that simply exits that iteration. I don't want a full code exit, just that iteration.


I thought I would ask this same question again and hope to get a different answer. It will save my optimizer A LOT of iterations .. right now that 300,000+ set of iterations just crashes NT, I get the Out of Memory error [I'm hoping NT7 fixes this?!?]

Anyway, any thoughts would be greatly appreciated. I'm a fairly new NT person, and I LOVE it! Great platform; great API/development environment; it's the best I've used.

Thanks.

[NinjaTrader_Ben]

Hello,

To clarify, you want to skip the iteration of one variable? If so, just keep the range of optimization values for the variable to one: var1 10;10;1

Can you produce the crash for a default strategy? If so, give us step by step instructions please.

[Nyboe]

No, I want to skip all iterations when two variables overlap.

Mock Example:
VAR1: 1..10
VAR2: 1..10

I only want to bother running through the whole iteration when VAR2 > VAR1 [or put the other way, SKIP the iteration if VAR2 <= VAR1].

Originally I ran with:
VAR1: 1..5
VAR2: 6..10

and that produces some results, but then I wondered how things performed when VAR2=9 && VAR1=8 or VAR2=4 && VAR1=2 etc.

So I want to run the full range of values 1..10 for VAR1 and VAR2 but only when VAR2 > VAR1.

I am currently accomplishing this by wrapping all of my code in OnBarUpdate() with this:
if (VAR2 > VAR1)
{
// normal logic here...
}

and this works! BUT I would love to have a way to bypass every iteration when VAR2 <= VAR1 ... the optimizer is still watsing time going through all the ticks/bars and will never initiate a order.


Anyway, I hope that all made sense...is there anything I can do to speed up the optimize and skip over iterations that I know won't produce any orders? I would think I could call something in Initialize()....I assume this gets called at the beginning of every iteration with new values in the Optimizer?

Thanks for any help.

[Baruch]

Hi,
Just declare the second var as an addition to the first and not as an absolute value.
In initialize put into a third var the result, so if var1=12 and var2=6, var3=12+6.

Baruch

[Nyboe]

It's not that simple. Basically what I want to do is:
- when VAR2 = 10, run iterations over when VAR1 is 1-9
- when VAR2 = 9, run iterations over when VAR1 is 1-8
- when VAR2 = 8, run iterations over when VAR1 is 1-7
- etc.

I can set the optimizer up to run over VAR1=1..9; VAR2=1..10 -- but I believe half the iterations are pointless, i.e. VAR2=8 && VAR1=9.

I only want the iterations when VAR2 > VAR1, but it's not as easy as setting one variable based on the other because I need iterations of one variable relative to the other.

Anyone from NT have any ideas if there is a line of NinjaScript that can simply exit when VAR1 >= VAR2? I'd love to put that line in the Initialize() method. I don't want the whole optimization to be killed, just that one iterations ... "System.Exit(0)" --- will something like that work?

[NinjaTrader_JoshP]

Not in Initialize(). Suggest you just put it as the first line of code in OnBarUpdate() under if (CurrentBar == 0).

[Baruch]

Its exactly what I said. Think about it.
In optimizer you put:
var1 10;20;1
var2 1;10;1 //the adding fraction
The iterations will be:
var1 var3
10 11
10 12
10 13
...
10 10+10=20
11 12
11 13
...
11 21
....
20 21
....
20 30

Baruch

p.s.
Put the calculation of var3 in Initialize()

[Nyboe]

When I first read this, I thought that might work...but I still don't think it will.

The goal is to run iterations only when VAR2 > VAR1:
- when VAR2=10, run iterations over when VAR1=1-9
- when VAR2=7, run iterations over when VAR1=1-6
- when VAR2=2, run iterations over when VAR1=1
- when VAR2=1, don't run any iteration


Trying to adapt your example to this:
var2 1;10;1
var_add 1;8;1 //the adding fraction

In code:
var1 = var2+var_add

for iteration of var2=1, this works. But for iteration of var2=7, this certainly doesn't work.

I thought about this using a "var_diff" variable...the same problem occurs.


The problem is I want to run iterations over an n*n matrix, but only half of the possibilities and not when i=j [the diagnol].

Please excuse me if I'm getting my math terms wrong ... I'm not mathematician, but this seems like a somewhat common thing: to loop over two variables for values 1-10, but you only want to run the optimizer when VAR2 > VAR1 (or whatever math function you want to apply).


Is there anything I can put in OnBarUpdate() that exits the current iteration of the optimizer...something like:

if (CurrentBar == 0 && VAR2 <= VAR1)
Optimizer.SkipToEnd();



Baruch: thanks for your thoughts and ideas...I really do wish I could setup a couple variables and then compute the 3rd as I need it, but I just don't think that is possible given what I'm trying to do. I basically want to dynamically iterate over one variable as it relates to another, but it's not linear, so I can't just apply simple addition or subtraction. Right? [maybe I'm still thinking of this incorrectlly?!?]

[Baruch]

No you are doing it wrong.
var1 1;10;1
var_add 1;10;1

var2 = var1 + var_add;

[Nyboe]

I WISH YOU WERE RIGHT...but you're not. Look below as I walk through all the iterations and the values for var1, var_add, and the calculated value of var2. All the rows which begin and end with 'xxx' are iterations I want to skip altogether. That was the intent of this post: to ask and find out how I can skip over iterations where VAR1 >= VAR2 for the variables VAR1=1-10 and VAR2=1-10.


Mapping this out below:
(since I want VAR2 > VAR1, I am going to use var_add 1;9;1)

[Optimizer Setup]
var1 1;10;1
var_add 1;9;1

[In Code]
var2 = var1 + var_add;

Case "1/1": var1=1; var2=2
Case "1/2": var1=1; var2=3
Case "1/3": var1=1; var2=4
Case "1/4": var1=1; var2=5
Case "1/5": var1=1; var2=6
Case "1/6": var1=1; var2=7
Case "1/7": var1=1; var2=8
Case "1/8": var1=1; var2=9
Case "1/9": var1=1; var2=10

Case "2/1": var1=2; var2=3
Case "2/2": var1=2; var2=4
Case "2/3": var1=2; var2=5
Case "2/4": var1=2; var2=6
Case "2/5": var1=2; var2=7
Case "2/6": var1=2; var2=8
Case "2/7": var1=2; var2=9
Case "2/8": var1=2; var2=10
xxxCase "2/9": var1=2; var2=11xxx

Case "3/1": var1=3; var2=4
Case "3/2": var1=3; var2=5
Case "3/3": var1=3; var2=6
Case "3/4": var1=3; var2=7
Case "3/5": var1=3; var2=8
Case "3/6": var1=3; var2=9
Case "3/7": var1=3; var2=10
xxxCase "3/8": var1=3; var2=11xxx
xxxCase "3/9": var1=3; var2=12xxx

Case "4/1": var1=4; var2=5
Case "4/2": var1=4; var2=6
Case "4/3": var1=4; var2=7
Case "4/4": var1=4; var2=8
Case "4/5": var1=4; var2=9
Case "4/6": var1=4; var2=10
xxxCase "4/7": var1=4; var2=11xxx
xxxCase "4/8": var1=4; var2=12xxx
xxxCase "4/9": var1=4; var2=13xxx

...

Case "8/1": var1=8; var2=9
Case "8/2": var1=8; var2=10
xxxCase "8/3": var1=8; var2=11xxx
xxxCase "8/4": var1=8; var2=12xxx
xxxCase "8/5": var1=8; var2=13xxx
xxxCase "8/6": var1=8; var2=14xxx
xxxCase "8/7": var1=8; var2=15xxx
xxxCase "8/8": var1=8; var2=16xxx
xxxCase "8/9": var1=8; var2=17xxx

Case "9/1": var1=9; var2=10
xxxCase "9/2": var1=9; var2=11xxx
xxxCase "9/3": var1=9; var2=12xxx
xxxCase "9/4": var1=9; var2=13xxx
xxxCase "9/5": var1=9; var2=14xxx
xxxCase "9/6": var1=9; var2=15xxx
xxxCase "9/7": var1=9; var2=16xxx
xxxCase "9/8": var1=9; var2=17xxx
xxxCase "9/9": var1=9; var2=18xxx

xxxCase "10/1": var1=10; var2=11xxx
xxxCase "10/2": var1=10; var2=12xxx
xxxCase "10/3": var1=10; var2=13xxx
xxxCase "10/4": var1=10; var2=14xxx
xxxCase "10/5": var1=10; var2=15xxx
xxxCase "10/6": var1=10; var2=16xxx
xxxCase "10/7": var1=10; var2=17xxx
xxxCase "10/8": var1=10; var2=18xxx
xxxCase "10/9": var1=10; var2=19xxx

[Baruch]

No you are wrong. I don't understand why you want var1=10 and you want var2 > var1, but var2=11 is not good for you??? If you want to restrict var2, then you need to add return if that happens.

Baruch

p.s.
I'm done. Do it your way.