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If you know of a way, please share. You would need to look at the entire backtest, say 10,000 trades or whatever, and for each optimizer run it would compare the equity curve and a perfect linear plot vs the actual plot, and measure the standard deviation at every data point (10,000 trades).
I'm not a math guy, but that is how I see it in my mind.
@Big Mike
This can be accomplished by optimizing for a reduction in the standard deviation of your average trade. The SQN method does this. I have attached it. By doing this method, you sometimes don't get the optimization you would expect. Though it does favor accuracy in a system, which I do like.
I have included a variation that I use. It takes the SQN result and multiplies it against max profit to get a balance between profitability and stability.
To install:
Put files here
NinjaTrader7\bin\custom\type
Then open the Ninja Script editor and compile any one of your indicators or strategies again. This will complete the install.
Yeah, but there is some danger because it is trying to reduce winning outliers as much as losing outliers. Ooohhh, that just gave me an idea. Reduce the standard deviation of only the losing trades.
i think it would be cool to have a workspace manager/editor.. it would be a window that you opened and made changes to workspaces w/o having to flip between them or load ones that are closed.. all of the workspaces could be displayed in a tree view/list view type thing and you could drag charts and windows from one to another workspace, copy windows to other workspaces, add/delete windows in them etc.. you get the point..
dont believe anything you hear and only half of what you see
It would appear that the backtester does not cache the Bars DataSeries when you use the Add() method within an indicator called by the strategy. Would speed things up considerably if it did and you use this functionality.
When a strategy fails to start it gives the error description on the log tab. In addition to the error description, it would be nice if it would display what line number the error occured in. This would help with debugging.