Possible to expose strategy variables to optimizer?

[kbeary33]

I would like to build an optimizer type that evaluates reward:risk ratios.

In my strategy, I record the initial stop price of each entry in a list:

List<KeyValuePair<int, IOrder>> longStops = new List<KeyValuePair<int, IOrder>>();

Is there any way that the optimizer can pull values out of this list, or does it only have access to the "Trades" collection?

(I can access initial price, and profit for the trade, but not the initial stop price)

Thanks

[NinjaTrader_JC]

Hello kbeary33,

Yes, I believe this would be possible with some in-depth custom programming. Note that would require a bit of good understanding of the Optimization method.

If you would like to try this you can view some code in the (My) Documents -> NinjaTrader 7 -> bin -> Custom -> Type.

[kbeary33]

Hi JC,

Thanks for the reply. To clarify - I know how to write new optimizer types, and how to access the typical trade performance data using something similar to the code below:

public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
    return systemPerformance.LongTrades.TradesPerformance.Percent.AvgProfit;
}

Say that I have a collection of IOrder entries that are saved in a collection in my strategy:

public List<KeyValuePair<int, IOrder>> longStops = new List<KeyValuePair<int, IOrder>>();

3 Questions:
1) What would be the coding that I would have to use in order to access this collection from inside of the Optimizer Type?

2) Or, more generally, how can I access any data that isn't recorded in the SystemPerformance collection?)

3) Is it possible to modify the SystemPerformance collection to store user-defined calculations?

Thanks

[NinjaTrader_JC]

Hello kbeary33,

Unfortunately, writing custom Optimization methods would not be something that we can support.

With that said, my initial though would be to expose the List and then override the Optimization method to be able to read your Strategy's List to be able to use it for some calculations.