optimization criteria using a user function

Questions about MultiCharts and user contributed studies.
skan
Posts: 34
Joined: 15 Jul 2010

optimization criteria using a user function

Postby skan » 01 Apr 2012

Hello

I'd like to optimize using some personalized criteria that cannot be expressed with the reserved words available on the optimization box.
I would be happy if I could optimize using the Sortino ratio criteria, but it's not included in MC either.

Is there any way to use a user function as optimization criteria?
(or being able to use detailed (per bar) strategy results from the optimization).
I've seen that MC 8 includes a "CustomFitnessValue" reserved word.
Can it be used for my purposes or it's just for genetic optimization?

regards

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JoshM
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Re: optimization criteria using a user function

Postby JoshM » 01 Apr 2012

There's a thread about Custom Criteria here, including examples and a list of available keywords.

I don't know how the Sortino ratio is exactly calculated, but if it needs information on a per trade basis (like for example calculating the standard deviation), then a Custom Criteria cannot be made for this. This is because the Custom Criteria only contain information on a per strategy basis (like net profit and number of trades). As a result, the Sharpe ratio and other performance measures that need information on a per trade basis sadly cannot be used.

Vote for this feature request if you also would like to access information on a per trade basis, which would greatly improve the functionality of the Custom Criteria.

skan
Posts: 34
Joined: 15 Jul 2010

Re: optimization criteria using a user function

Postby skan » 02 Apr 2012

I thought with MC 8 we could use a per bar trading information on the optimization.



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