Hello TSS,
Would a short educational description be possible (maybe in help section ''F1'') on:
1. How to use sample fitness functions built-in the Portfolio Backtester (there are 4 sample fitness functions. I ticked ''Custom Criteria'' and the optimization report returned results sorted according to custom criteria, but I have no idea which of the four fitness functions was used to sort the results - one of four or all four at once?).
2. How to create own custom fitness functions in the Portfolio Backtester?
Regards
How to use fitness function samples and how to make own ones
Hi again,
I just found two articles on how to optimize to get ideal equity curve linearity in TS:
http://www.breakoutfutures.com/Newslett ... er1104.htm
http://www.breakoutfutures.com/Newslett ... er0605.htm
Can some of these scripts be used in MC / ideas be benefitted from using the reserved words in MC? What would your recommendations be? I enclose a screenshot of the list of the reserved words supported by MC in the current beta version.
Regards
I just found two articles on how to optimize to get ideal equity curve linearity in TS:
http://www.breakoutfutures.com/Newslett ... er1104.htm
http://www.breakoutfutures.com/Newslett ... er0605.htm
Can some of these scripts be used in MC / ideas be benefitted from using the reserved words in MC? What would your recommendations be? I enclose a screenshot of the list of the reserved words supported by MC in the current beta version.
Regards
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If I understand it well, the computation would be like this:Can someone tell me how ProfitFactor is calculated?
Rafal
It's very simple!!!
Total profitable trades divided by the total of losses generated by losing trades....
''Number of profitable trades / Gross Loss''
or is it rather
''Gross Profit / Gross Loss''?
[quote][quote][quote]Can someone tell me how ProfitFactor is calculated?
Rafal[/quote]
It's very simple!!!
Total profitable trades divided by the total of losses generated by losing trades....[/quote]
If I understand it well, the computation would be like this:
''Number of profitable trades / Gross Loss''
or is it rather
''Gross Profit / Gross Loss''?[/quote]
Gross Profit/ Gross Loss!
Rafal[/quote]
It's very simple!!!
Total profitable trades divided by the total of losses generated by losing trades....[/quote]
If I understand it well, the computation would be like this:
''Number of profitable trades / Gross Loss''
or is it rather
''Gross Profit / Gross Loss''?[/quote]
Gross Profit/ Gross Loss!
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
Re: How to use fitness function samples and how to make own
Tresor, would you like explanations in addition to the code samples in the Custom Optimization criteria window? If you have any specific questions, I will be happy to answer them.Hello TSS,
Would a short educational description be possible (maybe in help section ''F1'') on:
1. How to use sample fitness functions built-in the Portfolio Backtester (there are 4 sample fitness functions. I ticked ''Custom Criteria'' and the optimization report returned results sorted according to custom criteria, but I have no idea which of the four fitness functions was used to sort the results - one of four or all four at once?).
It works the same way as custom fitness functions in the regular optimizer. Only there will be fewer words, since portfolio optimization has fewer parameters (We haven't defined yet what to consider an indivitual trade within portfolio. This is why parameters based on separate trades aren't available in portfolio)2. How to create own custom fitness functions in the Portfolio Backtester?
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
We will add optimization based on the equity curve in one of the future MC versions.Hi again,
I just found two articles on how to optimize to get ideal equity curve linearity in TS:
http://www.breakoutfutures.com/Newslett ... er1104.htm
http://www.breakoutfutures.com/Newslett ... er0605.htm
Can some of these scripts be used in MC / ideas be benefitted from using the reserved words in MC? What would your recommendations be? I enclose a screenshot of the list of the reserved words supported by MC in the current beta version.
Regards
Regards.
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
Hi reitberg,I'd like to use the ulcer index for my custom criteria. My understanding is that we can only use those reserved words? I have the ulcerindex as a function already in MC.
Once we add equity curve as one of the criteria for optimization, you will be able to write your custom function for ulcer.
For now, custom fitness functions can only be expressed through those reserved words (or optimization criteria) that are arleady supported in optimization.
Regards.
Re: How to use fitness function samples and how to make own
[quote]
Tresor, would you like explanations in addition to the code samples in the Custom Optimization criteria window? If you have any specific questions, I will be happy to answer them.
[quote]
Hello Marina,
I made some research in the internet so there is ni need to explain further.
Thanks
Tresor, would you like explanations in addition to the code samples in the Custom Optimization criteria window? If you have any specific questions, I will be happy to answer them.
[quote]
Hello Marina,
I made some research in the internet so there is ni need to explain further.
Thanks
[/quote]
We will add optimization based on the equity curve in one of the future MC versions.
Regards.[/quote]
EXCELLENT!!!
It would also be nice if one could copy his / her custom fitness code from, e.g. Word into fitness function editor. At the moment such a code needs to be typped in, which may result in an error while rewritting.
Regards
We will add optimization based on the equity curve in one of the future MC versions.
Regards.[/quote]
EXCELLENT!!!
It would also be nice if one could copy his / her custom fitness code from, e.g. Word into fitness function editor. At the moment such a code needs to be typped in, which may result in an error while rewritting.
Regards
Marina,We will add optimization based on the equity curve in one of the future MC versions.Hi again,
I just found two articles on how to optimize to get ideal equity curve linearity in TS:
http://www.breakoutfutures.com/Newslett ... er1104.htm
http://www.breakoutfutures.com/Newslett ... er0605.htm
Can some of these scripts be used in MC / ideas be benefitted from using the reserved words in MC? What would your recommendations be? I enclose a screenshot of the list of the reserved words supported by MC in the current beta version.
Regards
Regards.
Do you have any idea of what words will be available in equity curve optimization?
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007