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.


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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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Postby ABC » 30 Jul 2007


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.

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