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
Performance Report Metrics
- JoshM
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Re: Performance Report Metrics
Do you want to optimize on 'Outliers', or optimize on another objective function and write the outliers data to a file?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
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