optimization criteria using a user function

Questions about MultiCharts and user contributed studies.
skan
Posts: 36
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: 36
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.


skan
Posts: 36
Joined: 15 Jul 2010

Re: optimization criteria using a user function

Postby skan » 30 Aug 2017

Is it already possible, in year 2017, to use "per bar trading information" on the optimization in MultiCharts?
Or is it already possible to use the Sortino ratio directly?
These were some of the limitations that made my previous company move away from Multicharts.

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JoshM
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Re: optimization criteria using a user function

Postby JoshM » 30 Aug 2017

skan wrote:Is it already possible, in year 2017, to use "per bar trading information" on the optimization in MultiCharts?

Yes, you can use the SetCustomFitnessValue() keyword to create a custom optimisation criteria that includes any information you can access in PowerLanguage. That includes per bar/per trade metrics.

skan
Posts: 36
Joined: 15 Jul 2010

Re: optimization criteria using a user function

Postby skan » 30 Aug 2017

Great news.

It says it can be used only in signals.
When is not possible to use it?


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