Sort by Select Net Profit in optimization

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quod_erat
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Sort by Select Net Profit in optimization

Postby quod_erat » 25 Jun 2020

Apologies if this has been addressed somewhere else, but is there a way to show "Select Net Profit" in the optimization output? I'm trying to avoid overfitting, which is what often happens in the highest Net Profit rows.

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JoshM
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Re: Sort by Select Net Profit in optimization

Postby JoshM » 26 Jun 2020

'Select Net Profit' is unfortunately not something that's available in the Optimization Report by default.

If you know how to calculate it, you can use the `SetCustomFitnessValue()` function to specify this value inside the strategy itself. That computed value then displays in the 'Custom Fitness Value' column of the Optimization Report.

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Re: Sort by Select Net Profit in optimization

Postby quod_erat » 28 Dec 2020

I know this thread has been dormant for a while, but I wanted to circle back to it, now that we have the option of automatically optimizing. Is there a formula for calculating this .... is it "simply" excluding anything above/below x standard deviations, or is there more to it?


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