When are the NinjaScriptProperties loaded? Is it during the 'State.Configure'?
I ask because if I'm running into an issue during the Optimization using EMAs and the Optimization sometimes reverses the values. For example, I have 2 variables, FastEMA and SlowEMA, as NinjaScriptProperties.
The FastEMA should always be less than the SlowEMA but the Optimization sometimes tries them in reverse.
For example, if I'm running an Optimization with:
FastEMA:
10;40;5
SlowEMA:
20;60;5
Sometimes, the Optimization will try a combination of FastEMA (40) and SlowEMA (20).
I want to add some logic to exit the script if that happens and continue with the next combination.
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