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# :1. Open the '''Format Objects''' window.<br><span>{{FormatObjectIS}}</span># :2. Select the '''Signals''' tab.# :3. Click the '''Optimize''' button.# :4. In the '''Select Choose the Optimization MethodType''' dialog box that appears, select '''Exhaustive SearchRegular Optimization''' and click '''Next'''.# :5. In the '''Exhaustive Search PropertiesSet Optimizable Inputs''' window that opens, select 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 '''Optimizable InputsSignal Name''' column heading to enable optimization for all inputs (at least one input should be selected to perform optimization). :6. The '''Current Value''' tabcolumn 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.# Select the :10. The '''Optimization CriteriaStep Count''' tabcolumn shows current number of steps for an input.# :11. Select the '''Use LimitationExhaustive''' checkbox to limit the output to a defined number of the best results; unselect the checkbox to list all the results radio button in the optimization report'''Set Optimization Method''' section.# Enter :12. Select the desired number of best results target function to be optimized in the '''Show <i>N</i> best resultsOptimize by''' box.section:# Select the best results criteria in In the '''best results forMaximal/Minimal''' list box, set the respective values to be selected at the end of optimization.# Select criteria:From the next list one can select the function itself.#: 1. Select <br>If '''Standard Custom Criteria'''is selected, Edit button is available.#: 2. Select Press it to write the script for the custom criteria from the drop-down list. [[Performing_Optimization#Standard Custom Criteria|Read more about Standard and Custom Criteria]].<br>or:<br>#: 1. Select In order to apply the desired function from code select '''Custom CriteriaFitness Value'''. The custom value shall be specified by [[SetCustomFitnessValue]] keyword in the script.#: 213. Click Select the '''Edit...Use Limitation''' button.#: 3. Write checkbox to limit the output to a defined number of the best results; unselect the checkbox to list all the script for results in the custom criteria. [[Performing_Optimization#Custom Criteria|Read more about Custom Criteria]]optimization report.#: 414. Click When '''OKUse Limitation'''checkbox is checked Optimization dialog window shows current best results for selected сriteria during optimization.# Select :15. Click '''AscendingOptimize''' or N '''Descendingcombinations''' option to sort run the optimization and generate the output in ascending or descending order, respectivelyOptimization Report.<br><div style="background-color: # Click E3FBE5;">Since '''OKMultiCharts 10''' that is possible to run the start optimization and generate from '''Chart Analysis''' toolbar (see [[MultiCharts_Work_Area#Hiding_and_Redisplaying_Toolbars]]) by clicking on the Optimization Report'''Optimize Strategy''' button: [[File:toolbar2_ChartAn_125.png]]</div>
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# Open the '''Format Objects''' window<code> <br>if (StrategyPerformance.MaxStrategyDrawDown != 0) <br>{ <br>return StrategyPerformance.NetProfit / (- <br>StrategyPerformance.MaxStrategyDrawDown); <spanbr>{{FormatObjectIS}}</spancode># Select the '''Signals''' tab.# Click the '''Optimize''' button.# In the '''Select Optimization Method''' dialog box <br>Besides NetProfit and MaxStrategyDrawdown, there are many other properties that appears, select '''Genetic Algorithm'''can be referenced.# In The table below shows the '''Genetic Algorithm Properties''' window that opens, select the '''Optimizable Inputs''' tabavailable properties. # In the '''Start Value''' column<br>For example, enter to reference the desired starting values for each number of the inputstrades, simply use StrategyPerformance.TotalTrades. # In the '''End Value''' columnTo reference winning percentage, enter the desired ending values for each of the inputssimply use StrategyPerformance.PercentProfitable.# In the '''Step''' column, enter the desired step size, for each {| class="wikitable" width="65%"!width="33%"|Name of property in the inputs.object StrategyPerformance!width="25%"|Description!width="20%"|Available in MultiCharts!width="22%"|Available in Portfolio Optimization|-|NetProfit|Net Profit|align="center"|Yes|align="center"|Yes|-|GrossProfit|Gross Profit|align="center"|Yes|align="center"|Yes|-|GrossLoss|Gross Loss|align="center"|Yes|align="center"|Yes|-|TotalTrades|Total Trades|align="center"|Yes|align="center"|Yes|-|PercentProfitable|% Profitable|align="center"|Yes|align="center"|Yes|-|WinningTrades|Winning Trades|align="center"|Yes|align="center"|Yes|-|LosingTrades|Losing Trades|align="center"|Yes|align="center"|Yes|-|AvgTrade|Avg Trade|align="center"|Yes|align="center"|No|-|AvgWinningTrade|Avg Winning Trade|align="center"|Yes|align="center"|No|-|AvgLosingTrade|Avg Losing Trade|align="center"|Yes|align="center"|No|-|WinLossRatio|Win/Loss Ratio|align="center"|Yes|align="center"|No|-|MaxConsecWinners|Max Consecutive Winners|align="center"|Yes|align="center"|No|-|MaxConsecLosers|Max Consecutive Losers|align="center"|Yes|align="center"|No|-|AvgBarsInWinningTrades|Avg Bars in Winner|align="center"|Yes|align="center"|No|-|AvgBarsInLosingTrades|Avg Bars in Loser|align="center"|Yes|align="center"|No|-|MaxStrategyDrawDown|Max Intraday Drawdown|align="center"|Yes|align="center"|Yes|-|ProfitFactor|Profit Factor|align="center"|Yes|align="center"|No# Select the '''Algorithm|-specific Properties''' tab.# Select criteria:|ReturnOnAccount|Return on Account|align="center"|Yes#: 1. Select '''Standard Criteria'''.|align="center"|No#: 2. Select the criteria from the drop|-down list. |CustomFithessValue|Last [[Performing_Optimization#Standard CriteriaSetCustomFitnessValue|Read more about Standard CriteriaSetCustomFitnessValue()]]calculation result.<br>or:<br>#: 1. Select '''Custom Criteria'''.#: 2. Click '''Edit...''' button.#: 3. Write the script for the custom criteria. Will return 0 if [[Performing_Optimization#Custom CriteriaSetCustomFitnessValue|Read more about Custom CriteriaSetCustomFitnessValue()]]was not calculated.#: 4. Click '''OK'''.|align="center"|Yes|align="center"|Yes# Select '''Ascending''' or '''Descending''' option to sort the output in ascending or descending order, respectively.|}# An optimum population size value is automatically placed into the '''Population Size''' box; if a different value is desired, enter the value into the box.<br># In the '''Crossover Probability''' box, enter the desired crossover probability; value range is 0.95-0.99, with a default of 0.95.# In the '''Mutation Probability''' box, enter the desired mutation probability; value range is 0.01-0.05, with a default of 0.05. == Pausing optimization == # In the '''Convergence Type''' drop-down list, select '''Number of Generations''' or '''Proximal Convergence'''.# In the Since '''Maximum Number of GenerationsMultiCharts 10''' box, enter that is possible to pause the desired maximum number of generations.# If Proximal Convergence was selected, enter optimization process in order to temporary decrease the desired minimum number of generations and convergence rate into load on the respective boxesCPU. A value, approaching 1 is usually selected for the convergence rate; the default value is 0.990000.# In the To pause optimization click '''Genetic Algorithm SubtypePause''' drop-down list, select in the '''BasicOptimization Progress''' or '''Incremental''' algorithm subtypewindow. # If Basic algorithm subtype was selected, select To resume optimization click '''YesResume''' or '''No''' for '''Use Elitism''' option.# If Incremental algorithm subtype was selected, select the '''Replacement Scheme''' and '''Offspring Number''' (number of “children”). # Click '''OK''' to run the optimization and generate the Optimization Report.<br>
Once [[Understanding_Strategies|a strategy has been [[<span style="color: red;">'''LINK'''</span>0280_Backtesting/22-8002_Signals.html name="1"; |applied]] to a chart, strategy optimization can be performed.
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To perform Exhaustive Search optimization:
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== Running Genetic Algorithm Search ==
<div style="background-color: #E3FBE5;">Note: For detailed information on Genetic Algorithm properties, see [[Understanding Optimization#Understanding Genetic Algorithm Optimization|Understanding Genetic Algorithm Optimization]]</div>
Optimization is performed from the '''Format Objects''' window:
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.
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<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.
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<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.
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<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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== Custom Criteria ==
There are two types of criteria: standard and custom.
<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.
E.g., it is possible to specify: '''''the result have more than 300 trades and a winning percentage that's greater than 50%'''''.
<br><span style="background-color: #E3FBE5;">The scripting language is '''JavaScript'''.</span>
<br>'''Code Example'''
The code below creates the Net Profit / Max Drawdown ratio:
[[Category:Optimization]]
