Genetic Optimizer 2.1 for NinjaTrader 6.5

[whitmark]

Thank you to all those who have checked out the Genetic Optimizer 2.0 for NinjaTrader 6.5 first presented in this thread:

http://www.ninjatrader-support2.com/vb/showthread.php?t=17351

I have released a new version, 2.1, that includes the following updates:

• Added fitness function Net Profit per Trade.
• Added fitness function Sharpe Ratio based on the NinjaTrader system performance statistic.
• Added fitness function Expectancy per Average Loss made popular by Van Tharp.
• Added bootstrap method for forcing in known "best" parameter values to seed the initial population for consideration and solution improvement.
• Exposed reproduction percent that controls the top percent of iterations that will be used to produce the next generation of solutions.
• Updated uniform crossover processing.
• Addressed several minor processing and cosmetic issues.

See for yourself how you can put your strategy research and development efforts on overdrive at the link below:

http://www.whitmarkdevelopment.com/p.../wmGO/wmGO.htm

Whitmark

[DangerBoy]

Ok, so this time ready to download and have a go.

Just a quick one, you mention on your site that it computes based on bar close. I presume that it will still handle strategies that incorporate multiple time bar series?

Assuming that your optimizer sits on top of the ninja base strat calcs so you mention this merely as it's a limitation of NT?

Have no idea how an add on optimizer fits into the picture in terms of integrating into the back test so you'll have excuse me if my question is a bit thick...

Ross

[whitmark]

Hi Ross,

Yes, the wmGO works just like the default optimizer with regard to operating on multiple timeframe strategies on bar close of each timeframe. There is a reference example in the reference section of the forum that demostrates how to build this type of strategy.

Whitmark

[DangerBoy]

That's great, my strat already incorporates multiple time bars, hence why I was asking, I have a 1 tick secondary bar series from which I execute all my orders so that I can get as near to accurate as possible fills on backtesting. Causes a bit of havoc on the standard optimizer as it adds quite a bit of extra processing to it but interested to see how yours compares.

Downloading it now.

Cheers.
Ross

[whitmark]

Genetic Optimizer 2.1 for NinjaTrader 6.5

That's great, my strat arleady incorporates multiple time bars, hence why I was asking, I have a 1 tick secondary bar series from which I execute all my orders so that I can get as near to accurate as possible fills on backtesting. Causes a bit of havoc on the standard optimizer as it adds quite a bit of extra processing to it but interested to see how yours compares.

Downloading it now.

Cheers.
Ross

To be clear, the iterative backtest operations, data handling, historical fill model all work the same, including the "extra processing" to deal with a 1 tick timeframe, as it does when you run the default optmizer. The wmGO does not replace these key functions of the platform. What you get with the wmGO is a much smarter way of selecting parameter values through the application of a genetic algorithm without the need to test every combination of your parameter values and therefore, vastly reduce the number backtests required by several orders of magnitude to find a "near optimal" solution. The default optmizer can then be used to exhaustively search every "nook and cranny" of the vastly reduced solution space. If the reduced solution space is still too large, the new bootstrap method is a great way to focus the search.

As you know, we must never forget this whole excersize is about finding a robust parameter settings that still meet our profitability objectives on unseen data, vs finding the very best curve-fit solution on seen data that is likely very brittle and prone to perform poorly on unseen data. The extra precision in finding the global optimal solution on seen data rarely translates into extra robustness on unseen data.

Enjoy the trial and please email me at [email protected] if you have any questions or feedback.

Regards,

Whitmark

[DangerBoy]

Understood, thanks Mark.

Ross

[zwentz]

Awesome!

whitmark, expect a purchase from me within the next week. (I have to get this new brokerage and trading program lined up first.) This is a godsend, seriously amazing stuff. Great work man! Honestly, bang up job, I love it!

[whitmark]

Whitmark Genetic Optimizer 2.2 for NT 6.5

GO aficionados,

There is a new version of the Whitmark Genetic Optimizer 2.2 referenced in this thread:

http://www.ninjatrader-support2.com/...ad.php?t=18132

Whitmark