Backtest Fitness Function
Backtest Fitness Function
05 May 2016, 08:51
Hi,
Just wondering how the backtest fitness function is supposed to work using the GA testing?
If I set equity drawdown to minimize as number one, how does a test set with a higher equity drawdown get a bigger fitness fuction number, and hence come out on top? Is there a way to do this to get the most profitable, with the least drawdown on equity.
Also if equity drawdown goes below 50%, does a trade get stopped out in the real world? If so, how can I eliminate this from the GA population chosen as being fit?
Finally, how can I stop a test set with a final value of negative equity from being selected as 'fit'?
I have a feeling that I'm doing something wrong, as these results don't seem to relate to what I'm expecting the tester to do for me?
I will use brute force for now.
Cheers,
Martin.
solark
14 May 2016, 19:32
RE:
Override the `GetFitness` method in your cbot so you can be a bit more specific in fitness scoring. That way you know exactly what weighting each feature is getting.
@solark