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Setting optimization fitness value within the strategy (NT7)
Does anyone happen to know some way to set optimization fitness value within the strategy during optimization rather than in a separate class?
As you know, standard way forces you to use a separate class - derived from OptimizationType and implement/override GetPerformanceValue method - which has access only to post-facto stats. With the ability to set the fitness value within the strategy, one would be able to use GO in wide range of uses - e.g.:
1) use any custom computed measurement based on data available only within the strategy
2) use stats that can be computed only while strategy is running and not post-facto
3) perform optimization driven by criteria not based on executed trades, like pivot finding algo, DSP filter design, etc
4) many, many more!
Optimization: Instead of using optimization types, NT8 would introduce read-write Fitness property within both strategies and indicators, and let traders update it in OnBarUpdate. There's simply no reason to use completely separate class for what …
Quote: Optimization: Instead of using optimization types, NT8 would introduce read-write Fitness property within both strategies and indicators, and let traders update it in OnBarUpdate. There's simply no reason to use completely separate class for what is just passing of one single value. This would simplify programming and give traders more flexibility.
Can you help answer these questions from other members on NexusFi?
I have to say, my focus has started to move more in the direction of AI for Bot development. I have played with Neural Networks and fuzzy logic. One new entry which I think has promise is the "Artificial Bee Colony (ABC) Algorithm".
To Keep on the Machine Learning and Artificial Intelligence theme, I would like to start a new thread to discuss another approach for machine learning known as Support Vector Machines. There is a very good library called "LIBSVM" which can be …
Thanks Mike. Although slightly off-topic, it's good that you brought in continuous optimization, for IMHO, some non-continuous one-time optimization needs to be done anyway - but this time it would be meta optimization: like detecting through optimization which system parameters should be optimized only once (perhaps bar period, contract, currency pair?) and which parameters should be left to be continuously optimized (perhaps MA period, SL, TP?). So, at least in my view, classic optimization is needed either way.
And that brings me to additional point for this thread: this meta optimization is another thing affected by this missing functionality I created this thread for.
Have you tried using MS Visual Studio to step-debug a NinjaTrader Gentic Optimization process? I did this for the first time today today, and though I wasn't looking specifically for what you are, it's quite revealing how the NT core executes the optimizer... you might even get lucky and be able to hack it before NinjaTrader implements your idea in a future release : )
In general I really hope they provide they provide a way to optimize within a strategy... it seems nobody is doing this!
