I'm very pleased with the custom fitness function feature for the GA. This works well for optimizing based on standard measures of strategy performance.
It would be VERY nice if custom fitness functions could also access fields/variables from the strategy itself. This would allow the GA to (in a round-about way) to be used to develop optimized indicators and other types of formula that could be used as components in strategies. Typically, I've done this in other platforms by creating a 'target' signal, and then use GA to search for a combination of coefficients and function switches to arrive at a close match. For example, this could be used to build a custom RSI.
The only thing missing from Multicharts to do this is access to Strategy variables as part of the custom fitness formula. Basically, I would need access to the last value of a variable in a Signal/Strategy.
I know the custom fitness functions use Java Script classes to organize available data - would it be possible to include the last value of the Signal/Strategy variables?
In this case, I could build my own error functions (MSE, etc) inside the Signal/Strategy itself..
GA Custom Fitness Functions for Indicator Development
Questions about MultiCharts and user contributed studies.
4 posts • Page 1 of 1