optimize by metrics?

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joebone
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optimize by metrics?

Postby joebone » 18 Sep 2018

hello all,

couldn't find a search with some optimization ratios. Would someone mind sharing a Sortino ratio I could use to optimize with?

any other ratios or optimization metrics would be greatly appreciated!

Thanks

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joebone
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Re: optimize by metrics?

Postby joebone » 24 Sep 2018

Just wanted to put a bump on this to make sure there isn't any thread or discussion on sharing custom fitness values for optimization... If not then ill assume everyone writes their own versions. I'll get to it then!

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Re: optimize by metrics?

Postby wilkinsw » 25 Sep 2018


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joebone
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Re: optimize by metrics?

Postby joebone » 25 Sep 2018


thanks wilkinsw

that appears to be using "custom criteria" rather than "custom fitness value"

is that the only resource you know of.

thanks

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Re: optimize by metrics?

Postby wilkinsw » 25 Sep 2018


thanks wilkinsw

that appears to be using "custom criteria" rather than "custom fitness value"

is that the only resource you know of.

thanks
Sorry, my mistake.

I only use custom criteria, I'm afraid.

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Henry MultiСharts
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Re: optimize by metrics?

Postby Henry MultiСharts » 27 Sep 2018

Hello joebone,

I'm afraid that this is not something that can be done within the Custom Fitness Function. But you can create your own code with SetCustomFitnessValue to perform optimization based on Sortino ratio, similar way we have done it for Sharpe ratio:
http://www.multicharts.com/discussion/v ... 815#p59930


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