Custom Criteria Optimization

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If the standard set of optimization parameters does not suit you, you can create your own custom criteria for optimization.

There are two ways to create custom criteria for optimization:

  1. Write custom criteria in JavaScript 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:
  2. Create a custom signal using the SetCustomFitnessValue keyword in the PowerLanguage Editor specifying your custom criteria.

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 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).

Note: !optimize by sharpe ratio! default signal can be used as an example showing how to utilize this functionality and how to find the best parameters using custom criteria.