Portfolio fitness function using symbol metrics possible?

Hi,

Is it possible to optimize a portfolio of symbols in PTO using a fitness function that can access the results for individual symbols?

For example:

Is it possible to find the highest net profit value for a given symbol from a given backtest run, during a genetic algorithm optimization, using a fitness function, and use that value to steer the optimization?

Hello wilkinsw,

You might try using the following method:

1. Create and compile the following signal:
   

   Code: Select all

   var: ind(0); var: maxNetprofit(0); maxNetprofit = 0; if not LastBarOnChart then #return; For ind = 0 to pmms_strategies_count - 1 Begin if getappinfo(aiOptimizing ) = 0 then begin Print(pmms_strategy_symbol(ind), " ", pmms_strategy_netprofit(ind )); end; if pmms_strategy_netprofit(ind) > maxNetprofit then begin maxNetprofit = pmms_strategy_netprofit(ind ); end; End; SetCustomFitnessValue(maxNetprofit ); if getappinfo(aiOptimizing ) = 0 then begin Print(" END ", maxNetprofit ); end;
2. Add this signal to the Money Management Signal field.
3. Optimize by Custom Fitness value.

   Portfolio Trader.png

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4. Apply max input.
5. Open Output tab in the PowerLanguage Editor.
6. Backtest your strategy.

   Output.png

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Please see the screenshot attached for reference.