Selecting Custom Criteria for Optimization

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Dave Masalov
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Selecting Custom Criteria for Optimization

Postby Dave Masalov » 16 May 2012

Dear Users,

We have added the SetCustomFitnessValue keyword allowing you to specify custom optimization criteria in the PowerLanguage code.

See the following MC Wiki articles for instructions:

https://www.multicharts.com/trading-soft ... timization

https://www.multicharts.com/trading-soft ... tnessValue
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Re: Selecting Custom Criteria for Optimization

Postby evdl » 24 May 2012

Hi Dave,

I am curious if there also plans to get this functionality and all other functions of backtesting what is already in multicharts also in the portfolio backtester?

For example the walk forward option and the use of all the reserved words in the custom edit script. And on my wishlist, the option to save the optimizing report and be able to load it back in the optimizer at a later moment besides the option we have now to export this. (is also not in multicharts, new feature).

Thanks and keep up the great work!

Edwin

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Re: Selecting Custom Criteria for Optimization

Postby Dave Masalov » 30 May 2012

I am curious if there also plans to get this functionality and all other functions of backtesting what is already in multicharts also in the portfolio backtester?


This functionality is available in Portfolio Backtester.

For example the walk forward option and the use of all the reserved words in the custom edit script. And on my wishlist, the option to save the optimizing report and be able to load it back in the optimizer at a later moment besides the option we have now to export this. (is also not in multicharts, new feature).


Thank you for your suggestions. They have been forwarded to the developers.

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Re: Selecting Custom Criteria for Optimization

Postby evdl » 04 Jun 2012

Hi Dave,

I can not select the Custom Fitness Value from the list under the Standard Criteria section on the Optimization Criteria tab of the Exhaustive Search Properties window or on the Algorithm-Specific Properties tab of the Genetic Algorith Properties window in Portfolio backtester.

Is it not possible to use this in the portfolio backtester and only in multicharts via the chart?

I am using the MC8.0RC

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Re: Selecting Custom Criteria for Optimization

Postby sptrader » 04 Jun 2012

I think the ability to save current optimization parameters(separate defaults for each strategy input-just like default values for studies) should also be available.. (example: optimize input XYZ from 5 to 50 by 5) ..

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Re: Selecting Custom Criteria for Optimization

Postby Katrin Yanenko » 07 Jun 2012

evdl wrote:Hi Dave,

I can not select the Custom Fitness Value from the list under the Standard Criteria section on the Optimization Criteria tab of the Exhaustive Search Properties window or on the Algorithm-Specific Properties tab of the Genetic Algorith Properties window in Portfolio backtester.

Is it not possible to use this in the portfolio backtester and only in multicharts via the chart?

I am using the MC8.0RC


Hi evdl,

We've checked it on our end, the Custom Fitness Value is available for both optimization types.

Could you make screenshots that may help us to reproduce the issue?


sptrader wrote:I think the ability to save current optimization parameters(separate defaults for each strategy input-just like default values for studies) should also be available.. (example: optimize input XYZ from 5 to 50 by 5) ..


Hi sptrader,


Do you want to save inputs that are applied on a chart and use them as Start Values?

Speaking about optimizing one input only, you can do it if you change the parameters for this only input in the Optimization Window.


Best Regards,

Katrin Yanenko

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Re: Selecting Custom Criteria for Optimization

Postby evdl » 07 Jun 2012

Hi Katrin,

I am talking about the optimizing in the portfolio backtester. The optimizing on the chart in the main MC program has this option for both optimizing types, but I think the optimizing process in the portfolio backtester has not all the features that's in the main MC program.

My initial question was, if all the features of optimizing in the main MC program are going to be available for the portfolio backtester. That would be great, because you can use all the optimizing options and also trade in the main program.
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Re: Selecting Custom Criteria for Optimization

Postby rgranero » 26 Aug 2012

Hi, I saw (in the post) that Fitnessfunction should work in Portfolio backtester (product version 8.0.5620.401). But I don't find it.
Thanks
Riccardo

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Re: Selecting Custom Criteria for Optimization

Postby rgranero » 27 Aug 2012

Hi Henry, I don' t find it under the standard criteria list. What I miss?


The code:
if portfolio_MaxIDDrawDown<>0 and portfolio_netprofit <>0 then

SetCustomFitnessValue (portfolio_netprofit / absvalue(portfolio_MaxIDDrawDown) );

Attached the image.




Thanks Riccardo
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Henry MultiСharts
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Re: Selecting Custom Criteria for Optimization

Postby Henry MultiСharts » 28 Aug 2012

Hello Ricardo,

Sorry for misinformation. Custom Fitness Value is not available with Portfolio Backtester at the moment. We are going to improve Portfolio Baktester in the future and it should be added as one of the improvements.
You can use Custom Fitness Value in MultiCharts.
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Re: Selecting Custom Criteria for Optimization

Postby rgranero » 28 Aug 2012

Ok.

Henry have you a date (indicative) on next MC version?

Thanks
Riccardo

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Re: Selecting Custom Criteria for Optimization

Postby Henry MultiСharts » 28 Aug 2012

Unfotunately there is no ETA for it at the moment.

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Re: Selecting Custom Criteria for Optimization

Postby rgranero » 28 Aug 2012

Ok.

Thank you for your attention!
Riccardo

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Re: Selecting Custom Criteria for Optimization

Postby vindiou » 11 Mar 2013

Hi, when will "Custom Fitness Value" be available with Portfolio Backtester?

It is a real MultiCharts drawback/flaw in comparison to Mechanica, PowerST or Trading System Lab...

Is there a workaround with the "Custom Criteria"?

Where can I post this wish?

Thank you!

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Re: Selecting Custom Criteria for Optimization

Postby jlwtrading » 12 Mar 2013

Perhaps I am just a new user who doesn't know the full functionality of this product, but the capability to rank a strategy (on a portfolio of securities) via the K-Ratio, or Sharpe Number, or Van Tharp's System Quality Number, etc. is a real feature gap.

If I can't do that in this product, it doesn't compare favorably with other similar products (AB, TraderStudio, Trading Blox, etc.).

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Re: Selecting Custom Criteria for Optimization

Postby vindiou » 13 Mar 2013

Read the manual.
Yes you can at the trading system optimization level but you can't at the portfolio optimization level :-(

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Re: Selecting Custom Criteria for Optimization

Postby jlwtrading » 13 Mar 2013

That's my whole point!

In many other products, you use a "portfolio" tester to see how one particular strategy works.
You rank one strategy over another based on certain characteristics (Sharpe Ratio, Van Tharp's number, K-Ratio, CAGR/MMD, etc.).
Furthermore, to get a real idea of how your strategy will really work in the real world, you use Walk Forward Testing, and then rank your strategies based on that characteristic that was calculated on the out of sample periods.
That's the best way that I know of to really analyze a strategy!

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Re: Selecting Custom Criteria for Optimization

Postby vindiou » 13 Mar 2013

My questions again to MultiCharts developers :

1) When will "Custom Fitness Value" be available with Portfolio Backtester?

2) Is there a workaround with the Portfolio Backtester "Custom Criteria"?

Thanks

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Re: Selecting Custom Criteria for Optimization

Postby Dave Masalov » 14 Mar 2013

vindiou wrote:My questions again to MultiCharts developers :

1) When will "Custom Fitness Value" be available with Portfolio Backtester?

2) Is there a workaround with the Portfolio Backtester "Custom Criteria"?

Thanks


Hello vindiou,

1) This feature is planned for MultiCharts 9.0

2) Unfortunately, there is no workaround at the moment.
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Re: Selecting Custom Criteria for Optimization

Postby vindiou » 13 Oct 2013

Is "Custom Fitness Value" for Portfolio Backtester still planned for 9.0?

My fellow traders and I believe that this is #1 MultiCharts flaw/blocking point for a serious Asset Manager...

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Re: Selecting Custom Criteria for Optimization

Postby Dave Masalov » 21 Oct 2013

vindiou wrote:Is "Custom Fitness Value" for Portfolio Backtester still planned for 9.0?

My fellow traders and I believe that this is #1 MultiCharts flaw/blocking point for a serious Asset Manager...


Hello vindiou,

At the moment I cannot tell you exactly if this feature will be released in MC 9.0. However, I want to reassure you that we will do our best to make it available in v. 9.0.
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Re: Selecting Custom Criteria for Optimization

Postby vindiou » 31 May 2015

Is "Custom Fitness Value" for Portfolio Backtester implemented now?

Thanks

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Re: Selecting Custom Criteria for Optimization

Postby JoshM » 01 Jun 2015

vindiou wrote:Is "Custom Fitness Value" for Portfolio Backtester implemented now?

Yes, since MC 9.0 Beta 1:

Portfolio Trader now also has walk-forward optimization and custom fitness function.

(source).
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