Performing Optimization: Difference between revisions
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To perform Exhaustive Search optimization: | To perform Exhaustive Search optimization: | ||
:1. Open the '''Format Objects''' window.<br><span>{{FormatObjectIS}}</span> | |||
:2. Select the '''Signals''' tab. | |||
:3. Click the '''Optimize''' button. | |||
:4. In the '''Choose the Optimization Type''' dialog box that appears, select '''Regular Optimization''' and click '''Next'''. | |||
:5. In the '''Set Optimizable Inputs''' section check/uncheck the check box to the left of the signal name and input name to enable/disable optimization for this input or check the check box to the left of the '''Signal Name''' column heading to enable optimization for all inputs (at least one input should be selected to perform optimization). | |||
:6. The '''Current Value''' column shows input values that are currently selected for the signals applied on the chart. | |||
:7. In the '''Start Value''' column, enter the desired starting values for each of the inputs. | |||
:8. In the '''End Value''' column, enter the desired ending values for each of the inputs. | |||
:9. In the '''Step''' column, enter the desired step size, for each of the inputs. | |||
:10. The '''Step Count''' column shows current number of steps for an input. | |||
:11. Select '''Exhaustive''' radio button in the '''Set Optimization Method''' section. | |||
:12. Select the target function to be optimized in '''Optimize by''' section: | |||
In the '''Maximal/Minimal''' list, set the respective values to be selected at the end of optimization. | |||
From the next list one can select the function itself. | |||
<br>If '''Custom Criteria''' is selected, Edit button is available. Press it to write the script for the custom criteria. [[Performing_Optimization#Custom Criteria|Read more about Standard and Custom Criteria]]. | |||
<br>In order to apply the desired function from code select '''Custom Fitness Value'''. The custom value shall be specified by [[SetCustomFitnessValue]] keyword in the script. | |||
:13. Select the '''Use Limitation''' checkbox to limit the output to a defined number of the best results; unselect the checkbox to list all the results in the optimization report. | |||
:14. When '''Use Limitation''' checkbox is checked Optimization dialog window shows current best results for selected сriteria during optimization. | |||
:15. Click '''Optimize''' N '''combinations''' to run the optimization and generate the Optimization Report. | |||
<br> | |||
<div style="background-color: #E3FBE5;">Since '''MultiCharts 10''' that is possible to start optimization from '''Chart Analysis''' toolbar (see [[MultiCharts_Work_Area#Hiding_and_Redisplaying_Toolbars]]) by clicking on the '''Optimize Strategy''' button: [[File:toolbar2_ChartAn_125.png]]</div> | |||
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To perform Genetic Algorithm optimization: | To perform Genetic Algorithm optimization: | ||
:1. Open the '''Format Objects''' window.<br><span>{{FormatObjectIS}}</span> | |||
:2. Select the '''Signals''' tab. | |||
:3. Click the '''Optimize''' button. | |||
:4. In the '''Choose the Optimization Type''' dialog box that appears, select '''Regular Optimization''' and click '''Next'''. | |||
:5. In the '''Set Optimizable Inputs''' section check/uncheck the check box to the left of the signal name and input name to enable/disable optimization for this input or check the check box to the left of the '''Signal Name''' column heading to enable optimization for all inputs (at least one input should be selected to perform optimization). | |||
:6. The '''Current Value''' column shows input values that are currently selected for the signals applied on the chart. | |||
:7. In the '''Start Value''' column, enter the desired starting values for each of the inputs. | |||
:8. In the '''End Value''' column, enter the desired ending values for each of the inputs. | |||
:9. In the '''Step''' column, enter the desired step size, for each of the inputs. | |||
:10. The '''Step Count''' column shows current number of steps for an input. | |||
:11. Select '''Genetic''' radio button in the '''Set Optimization Method''' section. | |||
:12. Selecting the target function to be optimized in the '''Optimize by:''' section: | |||
In the '''Maximal/Minimal''' list, set the respective individuals, which will take part in further selection and crossover, for the selected parameter. | |||
From the next list one can select the function itself. | |||
<br>If '''Custom Criteria''' is selected, Edit button is available. Press it to write the script for the custom criteria. [[Performing_Optimization#Custom Criteria|Read more about Standard and Custom Criteria]]. | |||
<br>In order to apply the desired function from code select '''Custom Fitness Value'''. The custom value shall be specified by [[SetCustomFitnessValue]] keyword in the script. | |||
:13. Set Basic Genetic Algorithm Parameters. | |||
:14. An optimum population size value is automatically placed next to the '''Set Population Size''' box; if a different value is desired, check '''Set Population Size''' box and select the value. | |||
:15. In the '''Crossover Probability''' field, select the desired crossover probability; value range is 0-1, with a default of 0.95. | |||
:16. In the '''Mutation Probability''' field, select the desired mutation probability; value range is 0-1, with a default of 0.05. | |||
:17. In the '''Convergence Type''' section, select '''Number of Generations''' or '''Proximal Convergence'''. | |||
:18. If '''Number of Generations''' is selected: | |||
In the '''Number of Individuals in Population for Crossover''' field, enter the desired number of individuals in population for crossover. | |||
<br>In the '''Maximum Number of Generations''' field, enter the desired maximum number of generations. | |||
<br> | |||
<div style="background-color: #E3FBE5;">Note: the above fields are grayed out if “Set Population Size” box is not checked in Basic Genetic Algorithm Parameters.</div> | |||
:19. If '''Proximal Convergence''' is selected: | |||
In the '''Number of Individuals in Population for Crossover''' field, enter the desired number of individuals in population for crossover. | |||
<br>In the '''Maximum Number of Generations''' field, enter the desired maximum number of generations. | |||
<br>In the '''Minimal Number of Generations''' field, enter the desired minimal number of generations. | |||
<br> | <br> | ||
<div style="background-color: #E3FBE5;">Note: the above fields are grayed out if “Set Population Size” box is not checked in Basic Genetic Algorithm Parameters.</div> | |||
:20. If '''Proximal Convergence''' was selected, enter the desired convergence rate into the respective field. A value, approaching 1 is usually selected for the convergence rate; the default value is 0.99. | |||
:21. In the '''Genetic Algorithm Subtype''' section, select '''Basic''' or '''Incremental''' algorithm subtype. | |||
:22. If Basic algorithm subtype was selected, select '''Yes''' or '''No''' for '''Use Elitism''' option. | |||
:23. If Incremental algorithm subtype was selected, select the '''Replacement Scheme''' between Worst, Parent and Random. | |||
:24. Click '''Optimize''' N '''combinations''' to run the optimization and generate the Optimization Report. | |||
:25. Optimization dialogue window shows Average fitness value for current population during optimization. | |||
= | <br> | ||
<div style="background-color: #E3FBE5;">Since '''MultiCharts 10''' that is possible to start optimization from '''Chart Analysis''' toolbar (see [[MultiCharts_Work_Area#Hiding_and_Redisplaying_Toolbars]]) by clicking on the '''Optimize Strategy''' button: [[File:toolbar2_ChartAn_125.png]]</div> | |||
<br> | <br> | ||
== Custom Criteria == | == Custom Criteria == | ||
There are two types of criteria: standard and custom. | |||
Custom Criteria lets the user create his own criteria. Instead of choosing from a pre-defined list like in | <br>Standard Criteria lets the user select a criterion from a pre-defined list. For example, if the user selects Net Profit, the optimization will find the parameters that generate the highest Net Profit. | ||
<br>Custom Criteria lets the user create his own criteria. Instead of choosing from a pre-defined list like in Standard Criteria, the user can script his own criteria. E.g., suppose the user wants to find the parameters that maximize the Net Profit / Max Drawdown ratio. This ratio isn't pre-defined under Standard Criteria, so it won't be in the drop-down list. However, this ratio can be created using Custom Criteria. | |||
It is also possible to add additional criteria such as number of trades and winning percentage. | It is also possible to add additional criteria such as number of trades and winning percentage. | ||
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|align="center"|Yes | |align="center"|Yes | ||
|- | |- | ||
| | |GrossLoss | ||
|Gross Loss | |Gross Loss | ||
|align="center"|Yes | |align="center"|Yes | ||
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|align="center"|Yes | |align="center"|Yes | ||
|- | |- | ||
| | |PercentProfitable | ||
|% Profitable | |% Profitable | ||
|align="center"|Yes | |align="center"|Yes | ||
|align="center"|Yes | |align="center"|Yes | ||
|- | |- | ||
| | |WinningTrades | ||
|Winning Trades | |Winning Trades | ||
|align="center"|Yes | |align="center"|Yes | ||
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|align="center"|Yes | |align="center"|Yes | ||
|align="center"|No | |align="center"|No | ||
|- | |||
|CustomFithessValue | |||
|Last [[SetCustomFitnessValue|SetCustomFitnessValue()]] calculation result. | |||
Will return 0 if [[SetCustomFitnessValue|SetCustomFitnessValue()]] was not calculated. | |||
|align="center"|Yes | |||
|align="center"|Yes | |||
|} | |} | ||
<br> | |||
== Pausing optimization == | |||
Since '''MultiCharts 10''' that is possible to pause the optimization process in order to temporary decrease the load on the CPU. To pause optimization click '''Pause''' in the '''Optimization Progress''' window. To resume optimization click '''Resume'''. | |||
<br> | <br> | ||
[[Category:Optimization]] | [[Category:Optimization]] |