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Expectancy custom fitness
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Expectancy custom fitness

  #1 (permalink)
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Expectancy custom fitness

A custom criteria for MC optimization, the expectancy:

 
Code
                            
if ( StrategyPerformance.TotalTrades.Count == || StrategyPerformance.LosingTrades.Count== ) {

  return 
0;
}

return  (
StrategyPerformance.PercentProfitable*StrategyPerformance.AvgWinningTrade StrategyPerformance.WinningTrades*StrategyPerformance.AvgLosingTrade); 
It might be good to be able to optimize a strategy parameters with a Sharpe ratio, as this ratio is already known by MC, but I haven't already found if it's possible or not...

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  #3 (permalink)
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I have not done any custom criteria, would you mind explaining how to use that in MC?

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Check screenshot below.

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There is 18 standard criterias (Net profit, %Profitable, ...), but you can also define yours.

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  #5 (permalink)
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Awesome, thx Sam - I needed this

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  #6 (permalink)
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Hmm, Sam I had problems with your code.

I define expectancy like this:

((avgWinningDollar * pctWinners) - (avgLosingDollar * pctLosers)) / avgLosingDollar

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A real world example:

avgWinningDollar = 405.88
pctWinners = 43.59%
avgLosingDollar = 209.39
pctLosers = 56.41%

The result should be:
(405.88 * 0.4359) - (209.39 * 0.5641) / 209.39

Which gives us:
0.28, a very low and poor expectancy (1.0 or above is desired).

Since my code is dramatically different than yours, I'm including it here. Thanks for forcing me to take the time to do it - needed to be done!

 
Code
                            
// Expectancy
if ( StrategyPerformance.TotalTrades.Count == || StrategyPerformance.LosingTrades.Count== ) {
  return 
0;
}

// (avgWinDollar * pctWin + avgLoseDollar * pctLose) / Abs(avgLoseDollar)
return ((StrategyPerformance.AvgWinningTrade * (StrategyPerformance.PercentProfitable 100)) + (StrategyPerformance.AvgLosingTrade * (- (StrategyPerformance.PercentProfitable 100)))) / -StrategyPerformance.AvgLosingTrade;; 
Mike

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  #7 (permalink)
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Hmm, here is another update. Seems I needed to check for some more division by zero.

 
Code
                            
// Expectancy
if ( StrategyPerformance.TotalTrades.Count == || StrategyPerformance.LosingTrades.Count== || StrategyPerformance.PercentProfitable == || StrategyPerformance.PercentProfitable == 100 || StrategyPerformance.AvgWinningTrade == || StrategyPerformance.AvgLosingTrade == ) {
  return 
0;
}

// ((avgWinDollar * pctWin) + (avgLoseDollar * pctLose) / Abs(avgLoseDollar)
return ((StrategyPerformance.AvgWinningTrade * (StrategyPerformance.PercentProfitable 100)) + (StrategyPerformance.AvgLosingTrade * (- (StrategyPerformance.PercentProfitable 100)))) / -StrategyPerformance.AvgLosingTrade
Mike

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Need help?
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  #8 (permalink)
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Hmm, for me it's:
Expectancy = (Probability of Win * Average Win) - (Probability of Loss * Average Loss)
, and the higher the better.
But I'll check this, I'm maybe wrong.

There is a post on this here.

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  #9 (permalink)
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sam028 View Post
Hmm, for me it's:
Expectancy = (Probability of Win * Average Win) - (Probability of Loss * Average Loss)
, and the higher the better.
But I'll check this, I'm maybe wrong.

There is a post on this here.

Hi Sam,

That post says:


Quoting 
Expectancy is your profit percentage per win multiplied by your win rate minus your loss percentage per loss multiplied by your loss rate.

Hmm. I got mine from Elliott Wave's version in NinjaTrader.

We do agree, higher the better. An expectancy of less than 1.0 means you can expect it to lose money

I wonder how it will compare to each other in actual optimization testing?

Mike

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Need help?
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  #10 (permalink)
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More from user Elliott Wave here:
Optimizer Type: Max. Expectancy - NinjaTrader Support Forum

Let me know your thoughts!

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

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