MultiCharts Easter Sale has jumped in! Up to 50% off Explore offers
+1 888 340 6572
MultiCharts Project Management
previous_open_issue.png
Go to the previous open issue
previous_issue.png
Go to the previous issue (open or closed)
star_faded.png
Please log in to bookmark issues
feature_request_small.png
Open Feature request MC-648

Make 'Strategy Position' data available for use in Custom Criteria

action_vote_minus_faded.png
13
Votes
action_vote_plus_faded.png
next_issue.png
Go to the next issue (open or closed)
next_open_issue.png
Go to the next open issue
Description

With Custom Criteria, used in the Genetic Optimization process through the tab 'Algorithm-specific Properties', the user can write his own objective function(s) to optimize on. However, currently only the 'Strategy Performance' data (like MaxDrawdown, PercentProfit and TotalTrades) is available.

Because the individual trade data (the data in the 'Strategy Position' group of reserved words, like EntryTime, EntryDate and PositionProfit) is not available to the Custom Criteria, certain objective functions cannot be calculated. Tharp's System Quality Number for example, can't be calculated because the standard deviation cannot be determined without access to the PositionProfit of each trade.

If we can access individual trade data in the Custom Criteria, and not just strategy performance data, we'll be able to make more advanced objective functions to run our optimizations on.

Steps to reproduce this issue

N/A

Comments (2)
#0
user-offline.png  GB (Id2)
Feb 10, 2012 - 23:52

This very important function, for example, if we setup the ROA as the fitness function, but the return of best ROA most come from "Long" side(say 80%), and remain come from "Short"(say 20%), for a trader, this is not "Trade-able" input value, that result not for real-world. In the real world, maybe the 50/50 percent in Long/Short should be more good.
Hope MC team can think more important about this function. For me as a prop trade and trade with live, this function will be very useful and helpful for me, all trader will not want to waste time to do a "Beautiful" equity cure, we want a "Trade-able" one.

#0
user-offline.png  skan (skan)
Apr 02, 2012 - 11:59

This feature is needed if we want to define complex optimization criteria.

History
Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    Not determined
  • Status
    Under Review
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (3)
People involved
Times and dates
  • Posted at
  • Last updated
Issue details
  • Resolution
    Not determined
  • Severity
    Normal
Attachments (1)
Commits (0)
There are no code checkins for this issue
Duplicate issues (0)
This issue does not have any duplicates