Custom GetFitness for Backtesting
Custom GetFitness for Backtesting
29 Jan 2025, 02:49
Hi,
I'm interested in trying out the “custom” feature in Optimization Criteria section during back testing. It states you need to write your own “Get Fitness Method” in your cBot.
Does anyone know how to properly write this because I've been racking my brain trying to figure this out for days now.
I want to use a method called “Average Profitability Per Trade” or APPT.
This method measures:
- PW = Probability of Win
- AW = Average Win
- PL = Probability of Loss
- AL = Average Loss
Therefore, when creating this Get Fitness Method, it needs to calculate
- Win Percentage
- Loss Percentage
- Average Win Dollar Amount
- Average Loss Dollar Amount
And then with these numbers, compute the following formula to determine the best parameters to use:
- APPT = (PW×AW) − (PL×AL)
If anyone has experience in creating these Get Fitness Methods it would be GREATLY appreciated if you help me figure this out or if it's even possible to do so.
Thanks in advance!