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- 24 Apr 2019
- Forum: MultiCharts
- Topic: Custom Fitness Value - Tail Ratio?
- Replies: 0
- Views: 696
Custom Fitness Value - Tail Ratio?
Hi All, I want to optimize my signal parameters based on the tail ratio. Tail ratio: Ratio between the 95th and (absolute) 5th percentile of the daily returns distribution. For example, a tail ratio of 0.25 means that losses are four times as bad as profits. Need help coding this for the custom fitn...