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Open Feature request MC-648

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

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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.

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Comments (2)
user-offline.png  Michael (Id2)
Feb 10, 2012 - 18:52

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.

user-offline.png  skan (skan)
Apr 02, 2012 - 06:59

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

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