Custom Performance Metric

[EminiTrader]

Chris,

I downloaded your two files, and I am looking first at the 'CustomSampleCumProfit" code.

I see the reference to the performance metric of 'Profit' in this satement:

Values[(int)Cbi.PerformanceUnit.Currency] += trade.ProfitCurrency;

I am just now learning how to write custom performance metrics, so this is a newbie question: If I wanted to create a CumMAE metric (cumulative MAE)--would I change this and the other 'Values[] assignment statements to reference 'Mae' instead of Profit? ((I'm just using this as a hypothetical example to ask this question))

[NinjaTrader_ChrisL]

Hello EminiTrader, thanks for your post.

I have moved your question to a new thread from the original:

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/1048133-performance-metric-development-help#post1121851

That is correct, you would reference trade.MaeCurrency (or any other MAE type: pips, ticks, etc) See the Cbi.Trade object here:

https://ninjatrader.com/support/helpGuides/nt8/?trade.htm

Please let me know if you have any questions.

[EminiTrader]

Thanks Chris!

I have 2 new questions after looking at the examples:

1) Using this hypothetical MAE measure, the built-in MAE metric when used as an optimization fitness measure, it is set to find the MINAvgMAE. Is it possible to use the MAX MAE? (this is just an example, what I am really asking is whether a performance metric that sorts by Min or Max when used as an optimization fitness measure be changed to the opposite?

2) My actual use case is I want to track the MIN Cumulative Profit during the course of all the trades to make sure it doesn't fall below a certain threshold. Since CumProfit is defaulted to finding the max value when used to optimize on, this won't work. Can this be changed, or is there a way to do what I am wanting to do?

[NinjaTrader_ChelseaB]

Hello EminiTrader,

I will research this and I will let you know what I find.

I appreciate your patience.

[NinjaTrader_ChelseaB]

Hello EminiTrader,

I wanted to clarify with you your goal. You are trying to use the logic from the included MinAvgMae OptimizationFitness script which subtracts the average Mae from 1 to reverse the sorting.
You want to reverse the sorting, is this correct?
Copy this script, then remove the '1.0 - ' from the calculation so that this is not creating a negative value.

With the CustomNetProfit, this when used optimizing returns the backtest results that rank the highest. The performance metric itself is not a max or min, but cumulative.
I'm thinking your inquiry is not about ranking the results, but preventing new orders if the cumulative profit performance metric is too small, is this correct?
(Or are you wanting to reverse the sorting by subtracting the value from 1 to make this negative?)