optimization based on profit curve

[bkout]

Perhaps this option exists and I'm just not catching it. As I'm running optimizations I'm finding that the bottom line criteria I want to optimize on is a steady upward sloping profit curve. I'm finding in looking at Net Profit, Percent Profitable and Profit factor for example I can get decent numbers for those criteria and yet have a curve that looks like this

http://screencast.com/t/XWn13Md3sY

Even though such a system ended up making good money over the long haul it required one to keep trading for about 8 months without a new equity high. I just don't think I could do this. I'm more likely to keep going with more of a steady upward sloping line even if the final result is a lot less. Is there a way to optimized based on the steady progress of the equity curve?
If this does not exist may I suggest adding the ability to optimized based on minimal X bar deviation of return? Then I could set X at say 20 for a daily system to look for more consistant monthly returns.

[NinjaTrader_Bertrand]

bkout, per default there would be unfortunately not such a type available, however it's on our feedback list in product management for future consideration, I will make sure to count your vote in as well.

Further I would suggest reviewing this thread on BMT where a similiar custom type was discussed - https://www.bigmiketrading.com/ninja...ion-types.html

[snotrag12]

I've attached a graph of a strategy using stochastics on a 1 hour chart. I don't think any 1 strategy is going to work optimally month after month. I think you really need different strategies as market conditions change. As far as developing strategies, I think you need to try different things, different combinations etc. I usually work at it an hour a day. Sometimes I shelve a strategy and come back to it later.

Good Luck

[bkout]

I've attached a graph of a strategy using stochastics on a 1 hour chart. I don't think any 1 strategy is going to work optimally month after month. I think you really need different strategies as market conditions change. As far as developing strategies, I think you need to try different things, different combinations etc. I usually work at it an hour a day. Sometimes I shelve a strategy and come back to it later.

Good Luck

I know what you're saying. Your profit curve is certainly as good as I would expect to achive -- not expecting a straight 45 degree line. Seems like a trade-off -- if the optimization is just based on recent conditions it might be to vulnerable to a reversal of conditions -- then I have to decide how long to tolerate the drawdown before re-optimizing or changing the system. One way is to plot a trendline on the equity curve to turn the system on or off. What I would like to find is something that has done well in the last number of months (on my 15 min 24hr charts) but also at least did OK last year when things were more choppy. As you say it's constant work. Thanks for your post.

[bkout]

bkout, per default there would be unfortunately not such a type available, however it's on our feedback list in product management for future consideration, I will make sure to count your vote in as well.

Further I would suggest reviewing this thread on BMT where a similiar custom type was discussed - https://www.bigmiketrading.com/ninja...ion-types.html

Thanks Bertrand -- that looks like something I want to spend some time with. I imported the eleRSquaredXnetProf.cs file into the folder NT7/bin/Custom/Type because I saw other optimization criteria there. However when I go to optimize I don't see any new options to base the opt. on -- am I missing something?

[NinjaTrader_Bertrand]

Thanks Bertrand -- that looks like something I want to spend some time with. I imported the eleRSquaredXnetProf.cs file into the folder NT7/bin/Custom/Type because I saw other optimization criteria there. However when I go to optimize I don't see any new options to base the opt. on -- am I missing something?

Did you recompile your NinjaScripts afterwards then and restarted NT fresh? Then the custom type should become usable.

[bkout]

Thanks Betrand. That was the problem -- I'm running an opt now with the new criteria. More general question -- is there a way to "recompile all" that just runs through all custom indicators and scripts to check for errors or must each one be done separately? Since I don't know code I compile by opening the strategy in the Wizard and running it thru the steps till it closes with no errors. Do I assume correctly that I cannot use the F5 key method without losing the ability to use the Wizard?

[NinjaTrader_Bertrand]

Glad to hear it.

NT always recompiles all your files, so opening up for example a standard NT script like the ADX in the editor and then pressing F5 would be enough to trigger the 'compile all' you seek. From the wizard itself you can just press the 'view code' option and then hit F5 for example, either way will be ok.

[snotrag12]

Actually, I was thinking of something like using a longer term chart as a condition of entry. My results are based on a 60 min. chart, so If I could add an indicator running on a daily chart, that might keep me out of some losing trades.

[bkout]

Yes makes sense. Like determine the longer term trend and then use the shorter term chart to buy the dips and sell the rallies in an uptrend or short the rallies and cover on the dips during a downtrend. I plot the daily 9ema, 20ma, 50ma and 200ma on my intraday charts because price will often respond to them. On Ameritrade's Strategy desk charts these plot as stepping lines on intraday charts. Don't know if it can be done in Ninja that way. BTW if you're testing such things the last number of years (from about 2000) one could do a lot worse than taking only long trades from Oct 1 to Apr 31 and only short from May 1 to Nov 30. Of course this year may be different as usual.

[bkout]

Max time to recover

bkout, per default there would be unfortunately not such a type available, however it's on our feedback list in product management for future consideration, I will make sure to count your vote in as well.

Further I would suggest reviewing this thread on BMT where a similiar custom type was discussed - https://www.bigmiketrading.com/ninja...ion-types.html

Bertrand,
As I'm looking at this more I have a feeling that optimizing based on minimal "Max time to recover" would have a pretty high correlation with the type of equity curve I'm looking for. By any chance is that option available somehow? Otherwise perhaps it can be an addendum to the previous suggestion?

[NinjaTrader_Bertrand]

bkout, wouldn't be aware of one already existing to use this metric instead, I have it though added to our feedback tracking lists on your behalf (#2405). Thanks