Custom Criteria Optimization: Difference between revisions
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<div style="background-color: #E5F6FF;">Example: You want to optimize your signal by Sharpe Ratio. This parameter is not among the standard criteria. | <div style="background-color: #E5F6FF;">Example: You want to optimize your signal by Sharpe Ratio. This parameter is not among the standard criteria. | ||
One possible solution would be to create a function which calculates Sharpe Ratio in | One possible solution would be to create a function which calculates Sharpe Ratio in PowerLanguage (see default SharpeRatio function) and use it as a [[SetCustomFitnessValue]] keyword parameter. Such 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 Algorithm Properties''' window (see [[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 Algorithm Properties''' window (see [[Performing Optimization]]). |