How to use fitness function samples and how to make own ones

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Tresor
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How to use fitness function samples and how to make own ones

Postby Tresor » 28 Sep 2008

Hello TSS,

Would a short educational description be possible (maybe in help section ''F1'') on:

1. How to use sample fitness functions built-in the Portfolio Backtester (there are 4 sample fitness functions. I ticked ''Custom Criteria'' and the optimization report returned results sorted according to custom criteria, but I have no idea which of the four fitness functions was used to sort the results - one of four or all four at once?).

2. How to create own custom fitness functions in the Portfolio Backtester?

Regards

Tresor
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Postby Tresor » 28 Sep 2008

Hi again,

I just found two articles on how to optimize to get ideal equity curve linearity in TS:

http://www.breakoutfutures.com/Newslett ... er1104.htm

http://www.breakoutfutures.com/Newslett ... er0605.htm

Can some of these scripts be used in MC / ideas be benefitted from using the reserved words in MC? What would your recommendations be? I enclose a screenshot of the list of the reserved words supported by MC in the current beta version.

Regards
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MC optimization fitness function.jpg
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Tresor
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Postby Tresor » 30 Sep 2008

Marina,

Will there be any plans in the future to increase the number of reserved words that can be used in optimization, do you think?

Regards

Moulinex
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Postby Moulinex » 01 Oct 2008

I hope so!
The optimization in this manner is in my opinion the smartest way to lead a strategy...

Tresor
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Postby Tresor » 01 Oct 2008

I hope so!
The optimization in this manner is in my opinion the smartest way to lead a strategy...


Hello Moulinex,

100% agree

Tresor
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Postby Tresor » 01 Oct 2008

Can someone tell me how ProfitFactor is calculated?

Rafal

Moulinex
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Postby Moulinex » 01 Oct 2008

[quote]Can someone tell me how ProfitFactor is calculated?

Rafal[/quote]


It's very simple!!!
Total profitable trades divided by the total of losses generated by losing trades....

Tresor
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Postby Tresor » 01 Oct 2008

Can someone tell me how ProfitFactor is calculated?

Rafal



It's very simple!!!
Total profitable trades divided by the total of losses generated by losing trades....


If I understand it well, the computation would be like this:

''Number of profitable trades / Gross Loss''

or is it rather

''Gross Profit / Gross Loss''?

Moulinex
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Joined: 26 Sep 2008

Postby Moulinex » 02 Oct 2008

[quote][quote][quote]Can someone tell me how ProfitFactor is calculated?

Rafal[/quote]


It's very simple!!!
Total profitable trades divided by the total of losses generated by losing trades....[/quote]

If I understand it well, the computation would be like this:

''Number of profitable trades / Gross Loss''

or is it rather

''Gross Profit / Gross Loss''?[/quote]


Gross Profit/ Gross Loss!

Tresor
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Postby Tresor » 02 Oct 2008

Thanks Moulinex,

Regards

reitberg
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Postby reitberg » 08 Oct 2008

I'd like to use the ulcer index for my custom criteria. My understanding is that we can only use those reserved words? I have the ulcerindex as a function already in MC.

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Marina Pashkova
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Re: How to use fitness function samples and how to make own

Postby Marina Pashkova » 10 Oct 2008

Hello TSS,

Would a short educational description be possible (maybe in help section ''F1'') on:

1. How to use sample fitness functions built-in the Portfolio Backtester (there are 4 sample fitness functions. I ticked ''Custom Criteria'' and the optimization report returned results sorted according to custom criteria, but I have no idea which of the four fitness functions was used to sort the results - one of four or all four at once?).


Tresor, would you like explanations in addition to the code samples in the Custom Optimization criteria window? If you have any specific questions, I will be happy to answer them.

2. How to create own custom fitness functions in the Portfolio Backtester?


It works the same way as custom fitness functions in the regular optimizer. Only there will be fewer words, since portfolio optimization has fewer parameters (We haven't defined yet what to consider an indivitual trade within portfolio. This is why parameters based on separate trades aren't available in portfolio)

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Marina Pashkova
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Postby Marina Pashkova » 10 Oct 2008

Hi again,

I just found two articles on how to optimize to get ideal equity curve linearity in TS:

http://www.breakoutfutures.com/Newslett ... er1104.htm

http://www.breakoutfutures.com/Newslett ... er0605.htm

Can some of these scripts be used in MC / ideas be benefitted from using the reserved words in MC? What would your recommendations be? I enclose a screenshot of the list of the reserved words supported by MC in the current beta version.

Regards


We will add optimization based on the equity curve in one of the future MC versions.

Regards.

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Marina Pashkova
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Postby Marina Pashkova » 10 Oct 2008

I'd like to use the ulcer index for my custom criteria. My understanding is that we can only use those reserved words? I have the ulcerindex as a function already in MC.


Hi reitberg,

Once we add equity curve as one of the criteria for optimization, you will be able to write your custom function for ulcer.

For now, custom fitness functions can only be expressed through those reserved words (or optimization criteria) that are arleady supported in optimization.

Regards.

Tresor
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Re: How to use fitness function samples and how to make own

Postby Tresor » 11 Oct 2008

[quote]

Tresor, would you like explanations in addition to the code samples in the Custom Optimization criteria window? If you have any specific questions, I will be happy to answer them.

[quote]

Hello Marina,

I made some research in the internet so there is ni need to explain further.

Thanks

Tresor
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Postby Tresor » 11 Oct 2008

[/quote]

We will add optimization based on the equity curve in one of the future MC versions.

Regards.[/quote]

EXCELLENT!!!

It would also be nice if one could copy his / her custom fitness code from, e.g. Word into fitness function editor. At the moment such a code needs to be typped in, which may result in an error while rewritting.

Regards

Tresor
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Postby Tresor » 15 Oct 2008

Hi again,

I just found two articles on how to optimize to get ideal equity curve linearity in TS:

http://www.breakoutfutures.com/Newslett ... er1104.htm

http://www.breakoutfutures.com/Newslett ... er0605.htm

Can some of these scripts be used in MC / ideas be benefitted from using the reserved words in MC? What would your recommendations be? I enclose a screenshot of the list of the reserved words supported by MC in the current beta version.

Regards


We will add optimization based on the equity curve in one of the future MC versions.

Regards.


Marina,

Do you have any idea of what words will be available in equity curve optimization?

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Marina Pashkova
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Joined: 27 Jul 2007

Postby Marina Pashkova » 22 Oct 2008

Hi Tresor,

You will be able to reference equity array. It will contain the values used to plot equity curve in the report.

Regards.


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