Optimization for Time

[ashmanz80]

Hi,

I was wondering if its possible to optimize entry and close times (clock time) on NT8. When I used the drop down menu to optimize I usually get the same results as selecting True.

[NinjaTrader_JoshG]

Hello ashmanz80,
Thanks for your post.

Is this a strategy that you made yourself, or did you download this from somewhere?

What drop down menu or option are you setting to "True"?

[ashmanz80]

Its actually something I made myself with the help of a programmer. I'm setting the time schedule which allows signals in a 24hrs market to run. For example if I limit the strategy for US open 9:30AM and end time to 4:00PM with a close of all open positions by 4:30PM EST. I was wondering if time can be optimized as to when the strategy should ideally run.

[NinjaTrader_JoshG]

Hello ashmanz80,

Thanks for your note.

One thing you could do to optimize time in the Strategy Analyzer, without modifying your code, is set 'Optimize Data Series' to 'true'. This will effectively offer to run through a range of timeframes, and the period would offer you to set the ranges to run through. Then you could apply a session template to limit your trading hours.

If you wanted to actually modify your code to optimize a particular time of day, what you would need to do is use a switch statement or a bunch of if statements and have a parameter for time that would optimize as a range of integers. For example, if you divide the day up into 6 parts and assign an integer to each of those parts you would be able to discern which of those 6 segments provided the best results. Something similar to the following snippet would accomplish this.

			if( TimeFrame == 1 )
			{
				[COLOR="SeaGreen"]// 12:00 AM and 4:00 AM time frame[/COLOR]
				if( ToTime(Time[0]) >= 000000 && ToTime(Time[0]) <= 040000)
				{
					[COLOR="SeaGreen"]//your strategy logic here[/COLOR]
				}
			}

			if( TimeFrame== 2 )
			{
				[COLOR="seagreen"]// 4:00 AM and 8:00 AM time frame[/COLOR]
				if( ToTime(Time[0]) >= 040000 && ToTime(Time[0]) <= 080000 )
				{
					[COLOR="seagreen"]//your strategy logic here[/COLOR]
				}
			}

The above code would be for just two segments of the day so you would need to create a condition for the other 4 segments, assuming your day was broken into 6 segments.

I am including a link to our help guide documentation for ToTime(), for your convenience. I am also including a link to a forum post you should find helpful that discusses how to limit trading hours with a time filter.

ToTime()
https://ninjatrader.com/support/help...us/?totime.htm

Using a time filter to limit trading hours
https://ninjatrader.com/support/foru...ead.php?t=3226

Please let me know if you have any further questions.

[trader3000a]

Hi,
The sample strategy doesn't work if I try to set a time envelope that crosses 000000, for instance I want one of the time envelopes to be from 11pm and 3am. Please advise?
thanks,
David

[NinjaTrader_BrandonH]

Hello David,

Thanks for your notes.

The idea to optimize time is to use int inputs (public integer variables using the NinjaScriptProperty attribute) and use ToTime(Time[0]) to check the bar is between the optimized hour and minute values.

See the example scripts shared by my colleague Chelsea on the forum threads linked below.

https://forum.ninjatrader.com/forum/ninjatrader-8/strategy-development/1149892-how-to-optimize-a-time-period-from-xy-to-xy-what-is-the-best-entry-and-exit-time?p=1154666#post1154666

https://forum.ninjatrader.com/forum/ninjatrader-8/platform-technical-support-aa/1067014-optimizing-on-time?p=1160389#post1160389