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SQN - System Quality Number optimization type
This is a new optimizer type for comparing strategies in the Strategy Analyzer called System Quality Number originally devised by Van Tharpe. The formula is
SQN = sqrt(N) * average("Profit") / stddev("Profit")
where N is the number of trades, which encourages a large number of trades, a large average profit, and a small standard deviation.
To install, take SQN.cs and
1. Copy this to My Documents/NinjaTrader 8/bin/Custom/OptimizationFitnesses
2. Recompile any of your indicators or strategies -- this will cause the optimizer type to be compiled as well
3. "SQN - System Quality Number" will show up in your list of optimizer types
4. The SQN value shows up in the Performance column on the grid
Category
NinjaTrader 8 Indicators and More
Details:
SQN - System Quality Number optimization type
Category:
NinjaTrader 8 Indicators and More
December 7th, 2021
Size: 2.90 KB
Downloaded: 97 times
Keywords:
sqn
van
tharpe
2461
ivanjocic
View Download Details
January 3rd, 2024 12:30 PM
Leafcutter
Unbelievable that there are just 86 downloads in more than 2 years till today. This is a great tool as far as I can say
after testing it just on a few strategies- thank you very much for sharing!
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