Expectancy custom fitness (please add to built-in options!)

ctrlbrk · Postby **ctrlbrk** » 29 Mar 2010

Here is the custom fitness for Expectancy. I really hope MC will add this to the built-in drop down box so it doesn't take up my one and only custom slot

Code: Select all


// Expectancy

if ( StrategyPerformance.TotalTrades.Count == 0 || StrategyPerformance.LosingTrades.Count== 0 ) {

  return 0;

}



return ((StrategyPerformance.AvgWinningTrade * (StrategyPerformance.PercentProfitable / 100)) + (StrategyPerformance.AvgLosingTrade * (1 - (StrategyPerformance.PercentProfitable / 100)))) / -StrategyPerformance.AvgLosingTrade;;

Mike

ctrlbrk · Postby **ctrlbrk** » 29 Mar 2010

Hmm oops, here is a better version -- it seems I needed to do extra checking for division by zero.

Code: Select all


// Expectancy

if ( StrategyPerformance.TotalTrades.Count == 0 || StrategyPerformance.LosingTrades.Count== 0 || StrategyPerformance.PercentProfitable == 0 || StrategyPerformance.PercentProfitable == 100 || StrategyPerformance.AvgWinningTrade == 0 || StrategyPerformance.AvgLosingTrade == 0 ) {

  return 0;

}



// ((avgWinDollar * pctWin) + (avgLoseDollar * pctLose) / Abs(avgLoseDollar)

return ((StrategyPerformance.AvgWinningTrade * (StrategyPerformance.PercentProfitable / 100)) + (StrategyPerformance.AvgLosingTrade * (1 - (StrategyPerformance.PercentProfitable / 100)))) / -StrategyPerformance.AvgLosingTrade;

Mike

geektrader · Postby **geektrader** » 29 Mar 2010

Thanks a lot, that´s a nice one, didn´t know you could code such complicated formulas in the custom optimization!

Do you have more custom fitness functions for MC?

Thanks a lot again!

Tresor · Postby **Tresor** » 12 Jun 2010

Here you can read about formula that can be used in fitness function to optimise to arive at most linear equity curve: http://kreslik.com/forums/viewtopic.php ... pe&start=0

I think it would be nice to have fitness function built-in MC that will allow you to optimise this way.

From the author: This way, I am not interested in absolute NetProfit, but intead in a smooth, linear equity curve which lends itself to applying position sizing algorithms more easily.