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Confused About Aggregate Optimize

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    Confused About Aggregate Optimize

    I am optimizing against a list of instruments. I have aggregate set to true. In the results, I get the 'combined' row as I do in back testing. It is not clear what this is telling me about the input parameter that was being optimized? I do not see any feild telling me what the optimal parameter within the tested range is for this optimization? All the data is available for individual instruments but IM not sure wthat tells me anything when Im interested in optimizing across many instruments?

    Aggregated:
    If set to True, NinjaTrader attempts to find the optimal results for the whole basket of instruments. The COMBINED row in the results tab will show an aggregation of results across the basket of instruments. (This parameter is only available when an
    Instrument List is selected for optimization.)

    In the combined row, there is no column for "parameter" so there is no showing of 'the optimal results for teh whole basket"

    Im sure Im missing something....

    Meegwell


    #2
    Hello

    Thank you for your post.

    Optimization will include the parameters that were used in the study – navigate to the Settings tab (see screenshot).

    Please let me know if this does not resolve the issue.
    Attached Files
    ChipNinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_Chip View Post
      Hello

      Thank you for your post.

      Optimization will include the parameters that were used in the study – navigate to the Settings tab (see screenshot).

      Please let me know if this does not resolve the issue.
      Oh - on that settings tab - I dont think I checked there but what that is showing is the optimal parameter (for each tested) for the whole basket? Thank You.

      Meegwell

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        #4
        Meegwell, it will give the parameter set that worked best across all instruments in the test (aggregated).
        BertrandNinjaTrader Customer Service

        Comment


          #5
          Originally posted by NinjaTrader_Bertrand View Post
          Meegwell, it will give the parameter set that worked best across all instruments in the test (aggregated).
          I had the same question as Meegwell and found this thread.

          I agree with Meegwell that being able to find the optimum parameter set across all instruments in this klunky way is far more useful than not being able to find them at all.

          However, I am looking for a set of rows (one for each parameter set) for "COMBINED RES" in the "Optimizer" tab, but I cannot find them. Am I doing something wrong?

          Also, in the "Instruments" tab, the results for each instrument are apparently for the parameter set that is optimized for that instrument. This can be a bit misleading until you understand what is being displayed (I first assumed it was for a globally optimum set of parameters across all instruments). It would help to have a column in this tab that indicates which parameter set those optimized results pertain to.

          Thanks

          Comment


            #6
            Thanks for the feedback Mark, the combined results row is available under the instruments tab only, not under the individual optimizations being stored.

            If you would like to see the 'best' parameters values directly in the instruments tab, please activate them in the grid properties (right click on the grid).

            Thanks.
            BertrandNinjaTrader Customer Service

            Comment


              #7
              Bertrand:

              Thanks, that is a helpful tip.

              Comment


                #8
                Dear all,

                Please allow me to contribute to this good discussion.

                I think it would be very useful to have under the instruments tab the e.g. 10 # best "combined results" and not a unique one for the best set of parameters. This is what I was expecting intuitively.

                BTW it would be nice also if you could freeze the combined results row at the top or at the bottom of the window.

                Kind regards,
                ch90

                Comment


                  #9
                  Thank you very much for your contributions ch90 - I will forward them to product management for tracking and consideration.
                  BertrandNinjaTrader Customer Service

                  Comment


                    #10
                    I second ch9090 request: when looking at a portfolio of instruments, the optimal strategy parameters for each instruments may differ for each instrument.
                    It would be fantastic to be able to test a whole portfolio in 1 click.

                    Philippe

                    Comment

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