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System Quality Number for MC?


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System Quality Number for MC?

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  #1 (permalink)
 
WayneA's Avatar
 WayneA 
Seattle, WA
 
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Hi y'all,

Does anybody know how to pull information from each trade w/in an optimizer run? I want to calculate the stdev of the trades, and to do that I need to get information from each trade. This is possible in NinjaTrader because of the way orders are saved. But in Multicharts, I don't know how call the information w/in MC.

Here's a post describing the System Quality Number.

Additionally, if anyone can share a custom fitness criteria that measures (or is a good proxy for) the volatility of individual trades w/in a run, then I would be very grateful!

Cheers,
wadams

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 Big Mike 
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I tried to do this, too, but ended up giving up.

I think it will require code change from MultiCharts to make it work, or for them to just build it in to MultiCharts (they can tweak it a bit and call it something else).

Use the MultiCharts -> Help -> Feedback menu option and ask them to implement it, linking to this thread. I will do the same, as I find the built-in optimizer types very limiting.

Mike

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WayneA's Avatar
 WayneA 
Seattle, WA
 
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Thanks for the heads up Mike.

I found a work around here. (The code and accompanying TradesArray are at the bottom of the page). But with this, you'll have to brute force the optimization runs into excel. I like excel, but I will definitely send this along to tssuport.

I watched your video on creating a NT strategy. I couldn't even think as fast as you were typing! What optimizer function do you use? Where can I go to get meta ideas on how to approach optimization?

Thanks for setting up the community.

wadams

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WayneA's Avatar
 WayneA 
Seattle, WA
 
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Hi Mike,

Dave @ TSSupport replied to me via this thread: TS SUPPORT :: View topic - Optimizer Fitness - System Quality Number.

I'm not really sure how to implement the new reserved words. I'll fiddle around with it this weekend.

wadams.

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 Big Mike 
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wadams,

I saw that post, too. Unfortunately, I'm not sure how to make it work either. Maybe you'll spear-head this movement? And post the NinjaTrader C# code to the MC forum, and challenge them to implement SQN for MultiCharts, if they can hehe, maybe another person at the community with more experience can do it, too.

Mike

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