Portfolio Optimization

[msmith]

I'm trying to optimize a strategy with a portfolio of securities. Is it possible to get the performance of a portfolio as a whole? In addition, is it possible to optimize a portfolio so that all the securities use the same parameter values?

For instance:

Portfolio Composition:
FGBL
FESX
ZB
ZN

Strategy Parameters:
MA Fast: 10 - 20 Step 1
MA Slow: 20 - 30 Step 1

I do an optimization:

I would like the entire portfolio optimized over the parameters as opposed to separate optimizations of each individual security.

So the first optimization would be a portfolio consisting of FGBL, FESX, ZB and ZN being optimized with a MA Fast of 10 and an MA Slow of 20. Next run of the optimization is FGBL, FESX, ZB and ZN being optimized with a MA Fast of 11 and an MA Slow of 21, and so on.

I would then like to view the results of these as a portfolio. Viewing individual contacts works well, but we trade securities as portfolios. Is any of this possible?

[NinjaTrader_Ray]

Unfortunately we do not support porfolio level backtesting/optimization at this time. It is on our list as a future possible enhancement.

[msmith]

Since this functionality is pretty important for me, is it possible to code this myself using your API since I am quite proficient in C#, or is something that will be released soon? I just read a post dating back to August of 2007 requesting this feature. If I can code it myself I might need a little direction as to how to get the results of a back-test via C#.

[NinjaTrader_Ray]

Unfortunately this is not possible.

[brooksrimes]

Is portfolio optimization in NT7? If not, is it on a schedule for future release?

Thx

[nicknamed]

Since this functionality is pretty important for me, is it possible to code this myself using your API since I am quite proficient in C#, or is something that will be released soon? I just read a post dating back to August of 2007 requesting this feature. If I can code it myself I might need a little direction as to how to get the results of a back-test via C#.

this is definitely possible - me and my team we plan to do things similar to this one using NT, visual studio and Matlab.
NinjaTrader_Dierk: Removed references to competitive products

[Keymaster101]

Has this feature been added into NT8?

[NinjaTrader_ChristopherJ]

When using NinjaTrader 7 within the Strategy Analyzer you can select a folder where your instruments reside such as Default then perform a backtest or optimize all instruments within the list at once.

In NinjaTrader 8 when optimizing or backtesting within the Instrument menu you have the option to "Select All" within a list as well.

I have also included a link below to our NinjaTrader 7 and NinjaTrader 8 Help Guides that goes over Basket Testing:

http://ninjatrader.com/support/helpGuides/nt7/basket_test.htm

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