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Open Feature request MC-896

New optimization type - linear equity curve with minimal deviation

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Description

This is the single most important feature missing from MultiCharts for me right now. I really want to see this.

I want to be able to select "Equity Curve" when optimizing, so I can optimize against the EC just as you might normally optimize against net profit, or profit factor.

The goal is a very linear equity curve with minimal deviation from optimal. The optimization run which produces the most linear curve with minimal deviation from optimal would be considered best.

Here is a screen shot showing an optimal equity curve, green dashed line. This screen shot also shows that this is not a very good equity curve because the first 25% of the curve deviates wildly from the optimal:

http://screencast.com/t/exeF7jlL

Now here is another screen shot showing an optimal equity curve, but a slightly better behaved actual curve as it fits more closely with optimal with less deviation. It still has some bigger deviations in the middle section, however:

http://screencast.com/t/WjmHyCCIh

The goal would be to run through optimizations where MC would select the optimization run who has the lowest deviation from an optimal equity curve.

I would also like to see you guys add the optimal equity curve line on the equity curve detailed chart, so I don't have to draw it manually.

Steps to reproduce this issue

Feature request.

Comments (5)
#0
user-offline.png  Guest (Guest)
May 17, 2012 - 21:33

Agree 100%. This is a must have for the professional trader!

#0
user-offline.png  rgranero (rgranero)
Aug 20, 2012 - 17:22

I we will be able to optimizing on equity curve we could use statistical measure to minimize the deviation like the r squared.

#0
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Sep 13, 2012 - 09:13

This can be done in current version of MultiCharts (8.0 Release) using SetCustomFitnessValue. You set this value in script and you can optimize it as a custom criteria (Optimiztion Criteria -> Use Limitation -> Standard criteria -> Custom Fitness Value)

#0
user-offline.png  Guest (Guest)
Sep 16, 2012 - 10:19

Thanks for changing the status for this feature request to "In Progress". Hope it will be available in MC 8.1 :)

#0
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Jan 18, 2013 - 09:48

Please read this forum thread for more details: http://www.multicharts.com/discussion/viewtopic.php?f=5&t=11769

History
Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    MultiCharts 8.5 (RELEASED)
  • Status
    Released
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
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