Custom Criteria Optimization: Difference between revisions
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<div style="background-color: #E3FBE5;">Note: '''!optimize by | <div style="background-color: #E3FBE5;">Note: '''!optimize by sharpe ratio!''' default signal can be used as an example showing how to find the best parameters using custom criteria.</div> | ||
[[Category:FAQ]] | [[Category:FAQ]] |
Revision as of 14:43, 22 May 2014
If the standard set of optimization parameters do not suit you, you can create your own custom criteria for optimization.
There are two ways to create custom criteria for optimization:
- Write custom criteria in java on the Optimization Criteria tab of the Exhaustive Search Properties window or on the Algorithm-Specific Properties tab of the Genetic Algorith Properties window (see Performing Optimization); or:
- Create a custom signal using the SetCustomFitnessValue keyword in the PowerLanguage Editor specifying your custom criteria.
One possible solution would be to create a function which calculates SharpeRatio in Power Language (see default SharpeRatio function) and use it as a SetCustomFitnessValue keyword parameter. See the !optimize by sharp ratio! default signal as an example. Such a signal should be applied to your chart with the signals that you want to optimize before performing optimization.
Make sure that you select the Custom Fitness Value from the list under the Standard Criteria section on the Optimization Criteria tab of the Exhaustive Search Properties window or on the Algorithm-Specific Properties tab of the Genetic Algorith Properties window (see Performing Optimization).