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Combining strategy optimization types

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Combining strategy optimization types

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caprica's Avatar
Experience: Master
Platform: NinjaTrader
Posts: 155 since Jul 2009
Thanks Given: 45
Thanks Received: 113

Can the fantastic programmers of this forum tell me (and show?) if it is possible to combine more than one optimizer type to create a blended or averaged optimizer type?

For instance I really enjoy using SQN or max expectancy types, I uploaded both to download section here. But if I could somehow create a new optimizer type that looks at not only one of these but also weighs the net profit I would really like to do so.

To be specific, max expectancy may have a very high value like 5 but the net profit very tiny like $5,000. Then another of the same strategy may have max expectancy of 0.75 and large net profit of $ 20,000. Right now I am spending a lot of time running individual optimization batches on these two types, one at a time, and then using Excel to find probable matches between the two for best result. It is not efficient at all this way.

If there was a way I could place say 50% of the weight on max expectancy and 50% of the weight on net profit and run a single job this would be awesome.


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Last Updated on July 27, 2009

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