More Flexible Optimization Fitness Functions

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More Flexible Optimization Fitness Functions

Postby Guest » 30 Jul 2007

How hard would it be to add some flexibility to the optimization fitness function. Maybe multiple conditions and some user input.

For instance search for: (Highest Net Profit) AND (Avg Trade > $xx).

This would be very powerful.

Thanks

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Marina Pashkova
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Postby Marina Pashkova » 30 Jul 2007

You could get the desired results through sorting. First, you could sort Optimization report results by average trade and then choose the corresponding net profit values.

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ABC
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Postby ABC » 30 Jul 2007

Marina,

that might work in this case, but the ability to create custom fitness functions would give much more advanced possibilities.

This is taken from RT Soft GA description:

# Usage of any complex optimization criteria (written in Easy Language), for example, considered maximal drawdown, equity line shape, etc.;
# It is possible to give any constraints in optimization problem. For example, to reject strategies which have too many trades or few trades or exceeds the given threshold for maximal drawdown;

They have quite a nice solution.

http://www.traderssoft.com/sys/go/


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