Optimising Data Series

[IanC28]

Hi,

I want to optimise a strategy by Data Series using UniRenko bars. The optimisation allows varying one of the 3 parameters that define the 'time frame'.

Is there a way to vary all the parameters that define the 'time frame'? I thought I could set up additional parameters in the strategy that could be used in the definition of the 'time frame', but not sure how to code this.

Thanks for any tips you can provide.

Ian

[NinjaTrader_ChelseaB]

Hello Ian,

The Start date and End date in the Time frame section cannot be optimized over.

You may be interested in a walk forward optimization which forward tests over test periods within the range.

https://ninjatrader.com/support/helpGuides/nt8/en-us/walk_forward_optimize_a_strate.htm

[IanC28]

Hi Chelsea,

Thanks for the information.

I don't want to optimise the Start and End date. It is the data series used by the instrument that I want to optimise. If this was a time based chart it would be say optimise between 5min and 60min in 5min steps.

The bar type I want to use is UniRenko and it has 3 parameters defining the bar size. Please see the attached clip from the Strategy Analyser. The First parameter Value can be optimised, but the 'Open Offset' and 'Tick Reversal' also define the bar size for the bars on the chart. These two parameters can't be optimised directly using the Strategy Analyser.

I was wondering if there was a back door method of changing these values using other parameters that can be optimised. These 3 optimisation parameters would be used to define the Data Series used in the strategy optimisation run.

Thanks

Ian

[NinjaTrader_ChelseaB]

Hello Ian,

There is some basic functionality for optimizing over the Value property of a Data Series with the Optimize > 'Optimize Data Series' checkbox.

Below is a link to the help guide.
https://ninjatrader.com/support/help...tionProperties

However, this is limited to only being able to optimize the Value property and is not able to optimize other properties that may exist and does not support Kagi, Point and Figure, Line Break and Heiken Ashi.

I will submit a feature request on your behalf for the other properties in a custom bar type to also be optimizable over. Once I have a tracking ID for this request I will forward this to you for future reference.


To confirm, the Time frame section has Start date, End date, Trading hours, and Break at EOD.
When you mentioned "Is there a way to vary all the parameters that define the 'time frame'?" were there no options in this section you wanted to optimize over?

[IanC28]

Thanks Chelsea,

No, I am not too concerned about these parameters. It is just the parameters that make up the price bar. For UniRenko there are 3 parameters, and I also use ninZaRenko bars which have 2 parameters.

Thanks again,

Ian

[NinjaTrader_ChelseaB]

Hello Ian,

I have received tracking ID# SFT-1299 for this request to optimize over custom bar type properies.

Please note it is up to the NinjaTrader Development to decide if or when any request will be implemented.

We appreciate your feedback on this.

[IanC28]

Thanks for your assistance Chelsea

[GLFX005]

Please add my vote to SFT-1299, it would be very helpful to have this option available and I don't see why it wasn't there to begin with

[NinjaTrader_ChelseaB]

Hello GLFX005,

I have added your vote on SFT-1299.

Thanks for your voice on this.

[demarcog]

Hi Chelsea,

I too am very much interested in being able to optimize other bar types such as unirenko.

Thank you,

glen

[bltdavid]

+1

Please add my vote.

[NinjaTrader_ChelseaB]

Hello bltdavid,

Thanks for your note.

I've added your vote to SFT-1299.

[ramgmadasu]

Please add my vote as well. I am trying optimise Renko bars. Having Reversal bars will lessen almost 3-4 days work

[NinjaTrader_ChelseaB]

Hello ramgmadasu,

Welcome to the NinjaTrader forums!

I've added your vote to SFT-1299. Thanks for your vote.

[hdge4u]

Hi Chelsea,

Thanks for the information.

I don't want to optimise the Start and End date. It is the data series used by the instrument that I want to optimise. If this was a time based chart it would be say optimise between 5min and 60min in 5min steps.

The bar type I want to use is UniRenko and it has 3 parameters defining the bar size. Please see the attached clip from the Strategy Analyser. The First parameter Value can be optimised, but the 'Open Offset' and 'Tick Reversal' also define the bar size for the bars on the chart. These two parameters can't be optimised directly using the Strategy Analyser.

I was wondering if there was a back door method of changing these values using other parameters that can be optimised. These 3 optimisation parameters would be used to define the Data Series used in the strategy optimisation run.

Thanks

Ian

Does optimizing against back test data even help? If so, How? I have a strategy that works on Real time market action, yet the back test returns come back horrifically negative. Therefore optimizing or even walk forward might be GIGO (garbage in, garbage out).