How does each of the optimisation attributes work?

Created at 04 May 2022, 13:31
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triplelorenz

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Joined 05.01.2022

How does each of the optimisation attributes work?
04 May 2022, 13:31

Hi,

In the optimisation, how do each of the attributes work?

For the maximise "Winning trades" does it maximise the total number of winning trades? or is it trying to maximise the amount gained per trade?. Same question for when you minimise losing trades.

Also, when you have multiple criteria, is it ranked from most important at the top, or the most weighted at top to the least weighed at the bottom or are they all weighted the same?

I have had a look around and I cant  find much information the how the criteria are calculated.

 

One other question, when doing a custom getfitness optimisation, is it possible to calculate maximum winning/losing consecutive trades? it appears in the trade statistics.

Thanks

Ian

@triplelorenz
Replies

amusleh
05 May 2022, 10:06 ( Updated at: 05 May 2022, 10:54 )

Hi,

By Wining Trades it means those trades with a positive net profit, any trade that has a positive net profit will be considered a wining trade, and it will try to maximize that number.

Regarding multiple criteria, yes it's ranked from top to bottom and every criteria has equal weight, they get multiplied by each other and then divided:

// sign is either +1 or -1. if there is any criteria value less than 0 then sign will be -1 otherwise +1
fitness = sign *  criteriaToMaximizeMultipliedAbsoluteValue / criteriaToMinimizeMultipliedAbsoluteValue

You can calculate any metric you want to by using custom fitness, GetFitnessArgs gives you all data related to back test pass, and you can use that data to calculate any metric you want to.

@amusleh
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