Backtest Fitness Function

Created at 05 May 2016, 08:51
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MA

martinplatt.com

Joined 01.05.2016

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.


@martinplatt.com
Replies

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