Performance Report Metrics

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mefTrader
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Performance Report Metrics

Postby mefTrader » 15 Jul 2011

I seen some topics around here that are quite old about the idea of having more Performance Report metrics being available as part of an optimisation/sweep process..

In particular I am looking for the metrics in the 'Outliers' part of the performance report, '1 Std. Deviation of Avg Trade' both positive and negative

Would that be available or how could I calculate it in a strategy to be able to dump the result to a file as part of a sweep?

Thanks

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JoshM
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Re: Performance Report Metrics

Postby JoshM » 16 Jul 2011

mefTrader wrote:I seen some topics around here that are quite old about the idea of having more Performance Report metrics being available as part of an optimisation/sweep process..

In particular I am looking for the metrics in the 'Outliers' part of the performance report, '1 Std. Deviation of Avg Trade' both positive and negative

Would that be available or how could I calculate it in a strategy to be able to dump the result to a file as part of a sweep?

Thanks

Do you want to optimize on 'Outliers', or optimize on another objective function and write the outliers data to a file?


For creating your own Custom Optimization Criteria, check this thread: viewtopic.php?f=5&t=8838

Custom Criteria can also be used to export your data to a file, but admittedly it would be easier to do this in EasyLanguage.

Optimizing on a 'Outlier Custom Criteria' can't be done since individual trade characteristics are not available for the optimizer (only data on strategy level), so the standard deviation of PositionProfit can't be calculated.

A workaround can be to optimize on something different (or do a Exhaustive Optimization), while writing the data from the strategy to a file using EasyLanguage. That way you can access more detailed information (i.e. trade information besides strategy information).

Regards,
Josh


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