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Open Feature request MC-735

Feature request: optimize multiple values when backtesting

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Description

I have a feature request/suggestion concerning backtesting and optimization for both MultiCharts and the Portfolio Backtester. Currently, if you run a backtest, these programs will generate an Optimization Report that shows the numerical results for different values (e.g., Net Profit, Percent Profitable, Avg Trade, etc.). 
You can then generate a 3D optimization graph for any one of those values. E.g., you could generate a 3D chart to demonstrate the best and worst Net Profit values, or another chart to display the best and worst Percent Profitable values.
However, there currently isn't any way to optimize across multiple values. E.g., when I'm backtesting, I typically look for results that have relatively high net profit, high percent profitable, and high return on account. (Of course, sometimes these results might be mutually exclusive.) To do this, I need to generate three separate optimization graphs (one for each value), and try to find the best "sweet spot" for these values.
  
It would be great if there were a way for the user to select certain categories of values (e.g., net profit, percent profitable, and ROA), and assign an aggregate score to those values. The 3D optimization graph could then display a 3D graph with that aggregate score. This would make it easier to optimize across multiple categories of values.
 
As an example, I created an Excel spreadsheet, attached, from an optimization report. I optimized two variables in my strategy -- "Target Points" (the number of points for a profit target) and "Stop Los Points" (the number of points for a stop-loss value). I exported those results to a CSV file.
 
In Excel, I created three additional columns -- "NP Score" (for Net Profit score), "PP Score" (for Percent Profitable score), and "ROA Score" (for Return on Account score). Each "Score" value is calculated as "Value for the current result" / "Value for the best result." 
 
E.g., the "NP Score" value for each item is calcaulted as "Net Profit for the current entry" / "maximum Net Profit for all entries." If the NP Score for any given item is 0.80, that indicates that the net profit for that result is only 80% as high as the best net profit -- good, but not great. This allows you to determine how each value compares to the best value for each column.
  
Finally, I added another column, "Avg Score." This is an aggregate score (the mean value) based on equal weightings of the NP Score, PP Score, and ROA Score entries for each result. You can use "Avg Score" to try to find the best results for Net Profit, Percent Profitable, and Return on Account, giving each one equal weight.
 
It would be great if MultiCharts could do something similar -- allow the user to identify which factors are most important for him, and then assign an aggregate score based on each of those factors. MultiCharts could calculate some aggregate score based on those factors, and then allow the user to create a 3D chart of the aggregate score to show a visual representation.
 
For example, one user might want to optimize for the best results of both Net Profit and Percent Profitable, while another user could attempt to optimize for the best results of Win/Loss Ratio, Return on Account. MultiCharts could calculate some sort of aggregate score for the factosrs identified by the user, and then display a 3D graph of the single aggregate score.
 
There might be a better mathematical way to do this -- I'm not necessarily suggesting that MultiCharts use this particular formula/methodology. However, it would be great generally if MultiCharts could attempt to determine the "best fit" for multiple variables, and display those results using the 3D Optimization Chart.

Steps to reproduce this issue

See above.

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    user-offline.png  Xyzzy (Xyzzy)
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