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A couple of questions about strategy optimization

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    A couple of questions about strategy optimization

    First off I hope this is the correct forum. I thought about putting it in strategy development but it's more of a platform usage question, so there you go.

    When using the Strategy Analyzer for optimization is there anyway to split the data being used so that it just uses the first 70% for optimization and then once it is optimized it just runs the last 30% with the given parameters without optimization so as to avoid overfitting?

    Also, I could not find expectancy score for a fitness function is it available?

    #2
    Hi NeverDownMoney,
    I know exactly what you are trying to achieve, but I think it cannot (yet?) be done with Ninja.
    As always, I'd love to be corrected here from Ninja experts.
    1) Split Overall Time Span
    Out of the box, you cannot split the time span for which you have historic data automatically into a optimization period and a control period based on user input (e.g. 70% optimization/ 30% control).
    2) Optimization Period / Control Period / Overall Result
    Out of the box, you cannot systematically test i) the optimization, and ii) the control period, and have the software display the outcome for i), ii) and iii) the overall outcome automatically in one go for each iteration. Walk-Forward-Optimization does not apply each setting of the optimization period to the control period. By contrast, it (only) applies the "best" parameter combination from the optimization period to the control period. https://ninjatrader.com/support/help...e_a_strate.htm
    I love my other software which delivers 1) and 2) out of the box and really gives me the full picture. Other than by pure coincidence, the "best" parameter settings from the optimization period are not the best settings overall. For me, the "best" settings are those, which deliver similar robust results in the backtest and control period although parameter stepping was strictly limited to the optimization period. Well, Ninja doesn't give you any hint in this respect, because WFO is artificially narrowed down before it is even run.
    I will not promote other products in this forum. Instead, I hope NInja accepts the challenge.
    NT-Roland

    Comment


      #3
      NT-Roland,

      Thanks for your thoughts on this and is the same information I would provide.

      I am happy to submit a feature request to control the data supplied to an optimization iteration if either of you would like.
      Chelsea B.NinjaTrader Customer Service

      Comment


        #4
        Yes, please do submit that as a feature request, e.g. optimization period, control period and overall result.

        Also any word on expectancy score for a fitness function is it available? Is it just called something else? Thank you.

        Comment


          #5
          Hello NeverDownMoney,

          I'm not familiar with an Expectancy score. There is a Performance column for optimizations used for ranking the results.
          Chelsea B.NinjaTrader Customer Service

          Comment


            #6
            Thank you Chelsea,

            I would really like to have this as a fitness function in NinjaTrader. I highly recommend you put this as a must have in the next version of NinjaScript. In my humble estimation it will make it very difficult for me to recommend this platform to other traders as a serious backtesting tool as expectancy score is a must have for this sort of thing.

            I am leaving a link which has a very good description of expectancy score. I highly recommend reading about it here -

            https://www.vantharp.com/trading/les...is-expectancy/

            Comment


              #7
              Hello NeverDownMoney,

              I will submit your request.

              Once I have a tracking ID I will provide this.

              With all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted in the Release Notes page of the Help Guide.

              Release Notes — https://ninjatrader.com/support/help...ease_notes.htm
              Chelsea B.NinjaTrader Customer Service

              Comment


                #8
                Hello NeverDownMoney,

                This request for 'Control date range of data for individual iterations of an optimization' is being tracked with ID# SFT-5099.

                This request to 'Add Expectancy Score to Strategy Analyzer' is being tracked with ID# SFT-5100.

                We appreciate your feedback.
                Last edited by NinjaTrader_ChelseaB; Yesterday, 03:24 PM.
                Chelsea B.NinjaTrader Customer Service

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