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Optimizer last bar

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    #1

    Optimizer last bar

    Hi

    Is there a way to access the very last bar of an optimizer? I want to run an optimizer and optimize a variable

    Let’s say variable is .1;1;.1; at every single iteration once the optimizer has tested ... for example... “.1” I want to print out values from my strategy.

    I’m thinking if I run the optimizer from from 1/1/2017 to 1/1/2018... I can add a condition in my strategy to print those values if the day is 1/1/2018.

    But is there a way to access the last bar of optimizers iteration for each individual iteration of a variable? Also, using a genetic optimizer, does the optimizer run each variable from 1/1/2017 to 1/1/2018 data for each iteration of a variable or does it randomly test these values within the date range in small chunks?

    Basically, I want to see the FINAL results of my strategy from different possible values of a variable and then do further analysis.
    Tags: None
    #2
    Thank you for your question, staycool3_a


    It sounds like what you are after is processing during State.Terminated if State.Configure was reached. I have attached a NinjaScript example which accomplishes this goal, and produces the following output :


    Code:
    Last close was 2910.75 on bar 247449 for optimization over fast period 7
Last close was 2910.75 on bar 247449 for optimization over fast period 4
Last close was 2910.75 on bar 247449 for optimization over fast period 1
Last close was 2910.75 on bar 247449 for optimization over fast period 2
Last close was 2910.75 on bar 247449 for optimization over fast period 8
Last close was 2910.75 on bar 247449 for optimization over fast period 3
Last close was 2910.75 on bar 247449 for optimization over fast period 6
Last close was 2910.75 on bar 247449 for optimization over fast period 5
Last close was 2910.75 on bar 247449 for optimization over fast period 10
Last close was 2910.75 on bar 247449 for optimization over fast period 9
Last close was 2910.75 on bar 247449 for optimization over fast period 7

    I will address the genetic optimizer question in another post.
    Attached Files
    Jessica P.NinjaTrader Customer Service

    Comment

      #3
      With respect to the genetic optimizer, I modified the above code so it actually places trades. Code samples we provide are for educational purposes, and are not intended for live trading, and are not guaranteed to accomplish any user goal or to be maintained.


      When I run this over all the values 1 through 100 (setting Fast to 1;100;1) we see


      • A single input value is used for each individual strategy run; the value of Fast does not change over the lifecycle of the strategy and stays the same through the entire date range
      • A random sample of starting values is selected
      • Many high scoring values are repeated. For example, look for values near the optimal value of 5, such as 6.
      • Many values are ignored


      Code:
      Last close was 2910.75 on bar 247449 for optimization over fast period 57
Last close was 2910.75 on bar 247449 for optimization over fast period 40
Last close was 2910.75 on bar 247449 for optimization over fast period 26
Last close was 2910.75 on bar 247449 for optimization over fast period 98
Last close was 2910.75 on bar 247449 for optimization over fast period 82
Last close was 2910.75 on bar 247449 for optimization over fast period 25
Last close was 2910.75 on bar 247449 for optimization over fast period 97
Last close was 2910.75 on bar 247449 for optimization over fast period 69
Last close was 2910.75 on bar 247449 for optimization over fast period 55
Last close was 2910.75 on bar 247449 for optimization over fast period 39
Last close was 2910.75 on bar 247449 for optimization over fast period 87
Last close was 2910.75 on bar 247449 for optimization over fast period 32
Last close was 2910.75 on bar 247449 for optimization over fast period 6
Last close was 2910.75 on bar 247449 for optimization over fast period 5
Last close was 2910.75 on bar 247449 for optimization over fast period 7
Last close was 2910.75 on bar 247449 for optimization over fast period 91
Last close was 2910.75 on bar 247449 for optimization over fast period 78
Last close was 2910.75 on bar 247449 for optimization over fast period 19
Last close was 2910.75 on bar 247449 for optimization over fast period 24
Last close was 2910.75 on bar 247449 for optimization over fast period 28
Last close was 2910.75 on bar 247449 for optimization over fast period 80
Last close was 2910.75 on bar 247449 for optimization over fast period 27
Last close was 2910.75 on bar 247449 for optimization over fast period 60
Last close was 2910.75 on bar 247449 for optimization over fast period 68
Last close was 2910.75 on bar 247449 for optimization over fast period 51
Last close was 2910.75 on bar 247449 for optimization over fast period 25
Last close was 2910.75 on bar 247449 for optimization over fast period 5
Last close was 2910.75 on bar 247449 for optimization over fast period 57
Last close was 2910.75 on bar 247449 for optimization over fast period 6
Last close was 2910.75 on bar 247449 for optimization over fast period 7
Last close was 2910.75 on bar 247449 for optimization over fast period 69
Last close was 2910.75 on bar 247449 for optimization over fast period 26
Last close was 2910.75 on bar 247449 for optimization over fast period 55
Last close was 2910.75 on bar 247449 for optimization over fast period 62
Last close was 2910.75 on bar 247449 for optimization over fast period 19
Last close was 2910.75 on bar 247449 for optimization over fast period 63
Last close was 2910.75 on bar 247449 for optimization over fast period 32
Last close was 2910.75 on bar 247449 for optimization over fast period 93
Last close was 2910.75 on bar 247449 for optimization over fast period 10
Last close was 2910.75 on bar 247449 for optimization over fast period 74
Last close was 2910.75 on bar 247449 for optimization over fast period 76
Last close was 2910.75 on bar 247449 for optimization over fast period 94
Last close was 2910.75 on bar 247449 for optimization over fast period 89
Last close was 2910.75 on bar 247449 for optimization over fast period 49
Last close was 2910.75 on bar 247449 for optimization over fast period 43
Last close was 2910.75 on bar 247449 for optimization over fast period 36
Last close was 2910.75 on bar 247449 for optimization over fast period 47
Last close was 2910.75 on bar 247449 for optimization over fast period 95
Last close was 2910.75 on bar 247449 for optimization over fast period 80
Last close was 2910.75 on bar 247449 for optimization over fast period 88
Last close was 2910.75 on bar 247449 for optimization over fast period 35
Last close was 2910.75 on bar 247449 for optimization over fast period 2
Last close was 2910.75 on bar 247449 for optimization over fast period 5
Last close was 2910.75 on bar 247449 for optimization over fast period 74
Last close was 2910.75 on bar 247449 for optimization over fast period 29
Last close was 2910.75 on bar 247449 for optimization over fast period 69
Last close was 2910.75 on bar 247449 for optimization over fast period 3
Last close was 2910.75 on bar 247449 for optimization over fast period 36
Last close was 2910.75 on bar 247449 for optimization over fast period 57
Last close was 2910.75 on bar 247449 for optimization over fast period 26
Last close was 2910.75 on bar 247449 for optimization over fast period 71
Last close was 2910.75 on bar 247449 for optimization over fast period 10
Last close was 2910.75 on bar 247449 for optimization over fast period 100
Last close was 2910.75 on bar 247449 for optimization over fast period 84
Last close was 2910.75 on bar 247449 for optimization over fast period 20
Last close was 2910.75 on bar 247449 for optimization over fast period 41
Last close was 2910.75 on bar 247449 for optimization over fast period 13
Last close was 2910.75 on bar 247449 for optimization over fast period 91
Last close was 2910.75 on bar 247449 for optimization over fast period 54
Last close was 2910.75 on bar 247449 for optimization over fast period 56
Last close was 2910.75 on bar 247449 for optimization over fast period 17
Last close was 2910.75 on bar 247449 for optimization over fast period 7
Last close was 2910.75 on bar 247449 for optimization over fast period 65
Last close was 2910.75 on bar 247449 for optimization over fast period 72
Last close was 2910.75 on bar 247449 for optimization over fast period 70
Last close was 2910.75 on bar 247449 for optimization over fast period 2
Last close was 2910.75 on bar 247449 for optimization over fast period 29
Last close was 2910.75 on bar 247449 for optimization over fast period 69
Last close was 2910.75 on bar 247449 for optimization over fast period 5
Last close was 2910.75 on bar 247449 for optimization over fast period 57
Last close was 2910.75 on bar 247449 for optimization over fast period 7
Last close was 2910.75 on bar 247449 for optimization over fast period 26
Last close was 2910.75 on bar 247449 for optimization over fast period 3
Last close was 2910.75 on bar 247449 for optimization over fast period 10
Last close was 2910.75 on bar 247449 for optimization over fast period 90
Last close was 2910.75 on bar 247449 for optimization over fast period 74
Last close was 2910.75 on bar 247449 for optimization over fast period 71
Last close was 2910.75 on bar 247449 for optimization over fast period 6
Last close was 2910.75 on bar 247449 for optimization over fast period 18
Last close was 2910.75 on bar 247449 for optimization over fast period 97
Last close was 2910.75 on bar 247449 for optimization over fast period 8
Last close was 2910.75 on bar 247449 for optimization over fast period 91
Last close was 2910.75 on bar 247449 for optimization over fast period 61
Last close was 2910.75 on bar 247449 for optimization over fast period 11
Last close was 2910.75 on bar 247449 for optimization over fast period 85
Last close was 2910.75 on bar 247449 for optimization over fast period 99
Last close was 2910.75 on bar 247449 for optimization over fast period 1
Last close was 2910.75 on bar 247449 for optimization over fast period 66
Last close was 2910.75 on bar 247449 for optimization over fast period 21
Last close was 2910.75 on bar 247449 for optimization over fast period 13
Last close was 2910.75 on bar 247449 for optimization over fast period 5
      Please let us know if there are any other ways we can help.
      Attached Files
      Jessica P.NinjaTrader Customer Service

      Comment

        #4
        Originally posted by NinjaTrader_JessicaP View Post
        With respect to the genetic optimizer, I modified the above code so it actually places trades. Code samples we provide are for educational purposes, and are not intended for live trading, and are not guaranteed to accomplish any user goal or to be maintained.


        When I run this over all the values 1 through 100 (setting Fast to 1;100;1) we see


        • A single input value is used for each individual strategy run; the value of Fast does not change over the lifecycle of the strategy and stays the same through the entire date range
        • A random sample of starting values is selected
        • Many high scoring values are repeated. For example, look for values near the optimal value of 5, such as 6.
        • Many values are ignored


        Code:
        Last close was 2910.75 on bar 247449 for optimization over fast period 57
Last close was 2910.75 on bar 247449 for optimization over fast period 40
Last close was 2910.75 on bar 247449 for optimization over fast period 26
Last close was 2910.75 on bar 247449 for optimization over fast period 98
Last close was 2910.75 on bar 247449 for optimization over fast period 82
Last close was 2910.75 on bar 247449 for optimization over fast period 25
Last close was 2910.75 on bar 247449 for optimization over fast period 97
Last close was 2910.75 on bar 247449 for optimization over fast period 69
Last close was 2910.75 on bar 247449 for optimization over fast period 55
Last close was 2910.75 on bar 247449 for optimization over fast period 39
Last close was 2910.75 on bar 247449 for optimization over fast period 87
Last close was 2910.75 on bar 247449 for optimization over fast period 32
Last close was 2910.75 on bar 247449 for optimization over fast period 6
Last close was 2910.75 on bar 247449 for optimization over fast period 5
Last close was 2910.75 on bar 247449 for optimization over fast period 7
Last close was 2910.75 on bar 247449 for optimization over fast period 91
Last close was 2910.75 on bar 247449 for optimization over fast period 78
Last close was 2910.75 on bar 247449 for optimization over fast period 19
Last close was 2910.75 on bar 247449 for optimization over fast period 24
Last close was 2910.75 on bar 247449 for optimization over fast period 28
Last close was 2910.75 on bar 247449 for optimization over fast period 80
Last close was 2910.75 on bar 247449 for optimization over fast period 27
Last close was 2910.75 on bar 247449 for optimization over fast period 60
Last close was 2910.75 on bar 247449 for optimization over fast period 68
Last close was 2910.75 on bar 247449 for optimization over fast period 51
Last close was 2910.75 on bar 247449 for optimization over fast period 25
Last close was 2910.75 on bar 247449 for optimization over fast period 5
Last close was 2910.75 on bar 247449 for optimization over fast period 57
Last close was 2910.75 on bar 247449 for optimization over fast period 6
Last close was 2910.75 on bar 247449 for optimization over fast period 7
Last close was 2910.75 on bar 247449 for optimization over fast period 69
Last close was 2910.75 on bar 247449 for optimization over fast period 26
Last close was 2910.75 on bar 247449 for optimization over fast period 55
Last close was 2910.75 on bar 247449 for optimization over fast period 62
Last close was 2910.75 on bar 247449 for optimization over fast period 19
Last close was 2910.75 on bar 247449 for optimization over fast period 63
Last close was 2910.75 on bar 247449 for optimization over fast period 32
Last close was 2910.75 on bar 247449 for optimization over fast period 93
Last close was 2910.75 on bar 247449 for optimization over fast period 10
Last close was 2910.75 on bar 247449 for optimization over fast period 74
Last close was 2910.75 on bar 247449 for optimization over fast period 76
Last close was 2910.75 on bar 247449 for optimization over fast period 94
Last close was 2910.75 on bar 247449 for optimization over fast period 89
Last close was 2910.75 on bar 247449 for optimization over fast period 49
Last close was 2910.75 on bar 247449 for optimization over fast period 43
Last close was 2910.75 on bar 247449 for optimization over fast period 36
Last close was 2910.75 on bar 247449 for optimization over fast period 47
Last close was 2910.75 on bar 247449 for optimization over fast period 95
Last close was 2910.75 on bar 247449 for optimization over fast period 80
Last close was 2910.75 on bar 247449 for optimization over fast period 88
Last close was 2910.75 on bar 247449 for optimization over fast period 35
Last close was 2910.75 on bar 247449 for optimization over fast period 2
Last close was 2910.75 on bar 247449 for optimization over fast period 5
Last close was 2910.75 on bar 247449 for optimization over fast period 74
Last close was 2910.75 on bar 247449 for optimization over fast period 29
Last close was 2910.75 on bar 247449 for optimization over fast period 69
Last close was 2910.75 on bar 247449 for optimization over fast period 3
Last close was 2910.75 on bar 247449 for optimization over fast period 36
Last close was 2910.75 on bar 247449 for optimization over fast period 57
Last close was 2910.75 on bar 247449 for optimization over fast period 26
Last close was 2910.75 on bar 247449 for optimization over fast period 71
Last close was 2910.75 on bar 247449 for optimization over fast period 10
Last close was 2910.75 on bar 247449 for optimization over fast period 100
Last close was 2910.75 on bar 247449 for optimization over fast period 84
Last close was 2910.75 on bar 247449 for optimization over fast period 20
Last close was 2910.75 on bar 247449 for optimization over fast period 41
Last close was 2910.75 on bar 247449 for optimization over fast period 13
Last close was 2910.75 on bar 247449 for optimization over fast period 91
Last close was 2910.75 on bar 247449 for optimization over fast period 54
Last close was 2910.75 on bar 247449 for optimization over fast period 56
Last close was 2910.75 on bar 247449 for optimization over fast period 17
Last close was 2910.75 on bar 247449 for optimization over fast period 7
Last close was 2910.75 on bar 247449 for optimization over fast period 65
Last close was 2910.75 on bar 247449 for optimization over fast period 72
Last close was 2910.75 on bar 247449 for optimization over fast period 70
Last close was 2910.75 on bar 247449 for optimization over fast period 2
Last close was 2910.75 on bar 247449 for optimization over fast period 29
Last close was 2910.75 on bar 247449 for optimization over fast period 69
Last close was 2910.75 on bar 247449 for optimization over fast period 5
Last close was 2910.75 on bar 247449 for optimization over fast period 57
Last close was 2910.75 on bar 247449 for optimization over fast period 7
Last close was 2910.75 on bar 247449 for optimization over fast period 26
Last close was 2910.75 on bar 247449 for optimization over fast period 3
Last close was 2910.75 on bar 247449 for optimization over fast period 10
Last close was 2910.75 on bar 247449 for optimization over fast period 90
Last close was 2910.75 on bar 247449 for optimization over fast period 74
Last close was 2910.75 on bar 247449 for optimization over fast period 71
Last close was 2910.75 on bar 247449 for optimization over fast period 6
Last close was 2910.75 on bar 247449 for optimization over fast period 18
Last close was 2910.75 on bar 247449 for optimization over fast period 97
Last close was 2910.75 on bar 247449 for optimization over fast period 8
Last close was 2910.75 on bar 247449 for optimization over fast period 91
Last close was 2910.75 on bar 247449 for optimization over fast period 61
Last close was 2910.75 on bar 247449 for optimization over fast period 11
Last close was 2910.75 on bar 247449 for optimization over fast period 85
Last close was 2910.75 on bar 247449 for optimization over fast period 99
Last close was 2910.75 on bar 247449 for optimization over fast period 1
Last close was 2910.75 on bar 247449 for optimization over fast period 66
Last close was 2910.75 on bar 247449 for optimization over fast period 21
Last close was 2910.75 on bar 247449 for optimization over fast period 13
Last close was 2910.75 on bar 247449 for optimization over fast period 5
        Please let us know if there are any other ways we can help.
        Thank you, Jessica.

        This is perfect.

        Another aspect of my question is:

        When the genetic optimizer is running, when it picks 5 for fast period... does it run this for the entire date range or does it randomly select random dates within the date range.

        Thank you

        Comment

          #5
          BTW:

          This is what I ended up doing to get the values and it seems to be printing the values being optimized at the "end" of each optimization itteration:

          Code:
          protected override void OnPositionUpdate(Position position, double averagePrice, int quantity, MarketPosition marketPosition)
{
      	
    if (position.MarketPosition == MarketPosition.Flat)
    {
		++strategy_trade_counts;
		Trade a = SystemPerformance.AllTrades[SystemPerformance.AllTrades.Count - 1];		
		if(a.ProfitCurrency>=0)
			++winning_count;
		
		if(a.ProfitCurrency<0)
			++losing_count;
		
		winning_average = SystemPerformance.AllTrades.WinningTrades.TradesPerformance.NetProfit / winning_count;
		losing_average = Math.Abs(SystemPerformance.AllTrades.LosingTrades.TradesPerformance.NetProfit) / losing_count;
				
		cum_profit =SystemPerformance.AllTrades.TradesPerformance.Currency.CumProfit;
	
    }
	
			if(Times[0][0].Date == new DateTime(2014, 12, 31))
			{			
			Print(string.Format("{0};{1};{2};{3};{4};{5};{6};{7};{8};{9};{10}",Time[0],strategy_trade_counts,winning_count,losing_count,winning_average,losing_average,PL_Ratio,Target,break_even,Tapper_increments,cum_profit));
			}
	
	
	
  
}
          I needed to calculate the expectancy for my strategy so I needed to calculate my correct winning, losing trade count etc and due to the issue I talked about in the other thread you're working on with me I had to manually count my trades. I added the print date statement to print the values at the end of my optimization iteration. The date has to be the last day of the date range for the optimization. I'm just not sure if the optimizer uses those values and runs them for the entire date range.

          -ps; I did a test; the optimizer iterations were 20; and the output printed that I was looking for is also 20 and then I tested the output individually in the strategy analyzer and the cum_profit matches the output I printed during the optimzition so the answer to my question is, "YES, each iteration runs through the entire period for a given variable the optimizer is testing."
          Last edited by staycool3_a; 09-17-2018, 08:47 PM.

          Comment

            #6
            You are correct. As mentioned previously, a single input value is used for each individual strategy run; the value of Fast does not change over the lifecycle of the strategy and stays the same through the entire date range.


            If you would like these values to change within a date range I would recommend reviewing the walk forward optimizer, https://ninjatrader.com/support/help...e_a_strate.htm


            Please let us know if there are any other ways we can help.
            Jessica P.NinjaTrader Customer Service

            Comment

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