I am developing a strategy that works in a nutshell as follows:
1. I work with all instruments from S&P500
2. On each bar, I check each instrument from S&P500 and see if it matches enter condition e.g. ROC(x) above something
3. Then I select the one that has the highest potential and enter
I tried to optimize the strategy using the "Strategy Analyzer", but it seems like the strategy runs extra optimizations for each instrument in S&P500 while I want to run optimization only for each value of the property e.g. it can be the period for ROC.
I have put together this sample that demonstrates the problem:
0. Using Ninjatrader 8. 64-bit 8.0.15.1 with Kinetic EOD data
1. There is simple strategy (attached) that has one property that should be optimized called "OptimizationProperty"
2. I run the strategy in "Strategy Analyzer" with following settings.
- My expectation is that 2 optimizations would be run for values 1 and 2.
- However, when you execute it, it will run 500+ executions which is far more than expected (see log.txt attached). What is the reason and how can I stop it and make Ninja to execute only 2?
With Regards
Martin
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