optimization parameters based on multiple assets

[uday12]

Suppose I have a system that has 6 parameters (of which only 2 are really sensitive). I am using the Genetic optimizer with Max Profit Factor optimization.

When I try to optimize the system on ES, NQ, TF (Russell 2K), DJ, I get very different parameters, which is quite understandable.

I want to carry out an optimization that is more robust, and returns me that Maximizes the Average of Profit Factors (or any other metric) across the 4 futures ~ ES, NQ, TF, DJ.

How can I do this?

If I re-code the strategy to use ES as the primary instrument, and also add NQ,TF, DJ, and then within the GetPerformanceValue function, how can I refer to the performance of individual asset?

More specifically, suppose the function is

public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
....
}

Can I use something similar to systemPerformance[0].AllTrades to get ES performance, systemPerformance[1].AllTrades to get NQ performance, etc.??

[NinjaTrader_PaulH]

Hello uday12,

Thanks for your post.

We will review and respond when we have further information, thanks for your patience.

[uday12]

Paul,

Let me know if you need more information.

Thanks

[NinjaTrader_PatrickH]

Hello uday12,

Thank you for your patience.

In a custom OptimizationType you would not be able to view individual performance as it would look at the overall picture of the strategy performance. Unless this was your intention I would go with GetTrades() in your strategy. Using a multiple instrument strategy and trading each instrument in the strategy you can then pull the individual instruments performance. You can use GetTrades() to pull the specific trade collection of an instrument that is traded by the strategy. You can find more information at the following link: http://ninjatrader.com/support/helpG.../gettrades.htm

Please let me know if you have any questions.