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.??
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