TS Index

Version: v.1.0.0.0

Description

The TS (TradeStation) Index is a custom optimization fitness function for NinjaTrader strategies. It is designed to evaluate and rank trading strategies by maximizing net profit and the number of winning trades, while minimizing the largest intraday drawdown. The index is calculated as the product of net profit and the count of winning trades, divided by the absolute value of the worst daily loss. This approach helps to prioritize strategies that are both profitable and consistent, with controlled risk.

How to Import and Use the TS (TradeStation) Index Fitness Function in NinjaTrader

1. Import the Fitness Function

1. Open NinjaTrader.
2. Go to the top menu and select Tools → Import → NinjaScript Add-On...
3. In the file dialog, navigate to the folder containing your TS (TradeStation) Index NinjaScript archive (ZIP file).
4. Select the file and click Open to import the fitness function.
5. Wait for NinjaTrader to confirm the import is complete.

2. Select the Fitness Function in Strategy Analyzer

1. Open the Strategy Analyzer from the Control Center by clicking New → Strategy Analyzer.
2. Set up your optimization as usual: choose your strategy, instrument, time frame, and other relevant settings.
3. In the Optimize section, find the "Optimize on" dropdown menu.
4. From the list, select TS (TradeStation) Index as your optimization fitness function.
5. Configure any additional optimization parameters as needed.

3. Run the Optimization

1. Click Run to start the optimization process.
2. Once complete, review the results. The TS (TradeStation) Index will be used to rank the performance of each parameter set, helping you identify the most robust and profitable strategy configurations.