hello all,
couldn't find a search with some optimization ratios. Would someone mind sharing a Sortino ratio I could use to optimize with?
any other ratios or optimization metrics would be greatly appreciated!
Thanks
optimize by metrics?
Re: optimize by metrics?
Just wanted to put a bump on this to make sure there isn't any thread or discussion on sharing custom fitness values for optimization... If not then ill assume everyone writes their own versions. I'll get to it then!
Re: optimize by metrics?
thanks wilkinsw
that appears to be using "custom criteria" rather than "custom fitness value"
is that the only resource you know of.
thanks
Re: optimize by metrics?
Sorry, my mistake.
thanks wilkinsw
that appears to be using "custom criteria" rather than "custom fitness value"
is that the only resource you know of.
thanks
I only use custom criteria, I'm afraid.
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Re: optimize by metrics?
Hello joebone,
I'm afraid that this is not something that can be done within the Custom Fitness Function. But you can create your own code with SetCustomFitnessValue to perform optimization based on Sortino ratio, similar way we have done it for Sharpe ratio:
http://www.multicharts.com/discussion/v ... 815#p59930
I'm afraid that this is not something that can be done within the Custom Fitness Function. But you can create your own code with SetCustomFitnessValue to perform optimization based on Sortino ratio, similar way we have done it for Sharpe ratio:
http://www.multicharts.com/discussion/v ... 815#p59930