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Optimization report
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Created: by Loop Attachments:0

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Optimization report

  #1 (permalink)
Elite Member
Sydney
 
Futures Experience: Intermediate
Platform: Multichart
Favorite Futures: Gold
 
Posts: 26 since Aug 2016
Thanks: 22 given, 4 received

Optimization report

Hello

I would like to optimize various strategies and sort result based on percentage instead of values. Highest average % return etc.

After all, we are seeking highest possible percentage return in our trades. Or lowest percentage loss on trades or similar..

Kind regards

Loop

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  #2 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,462 since Apr 2013
Thanks: 224 given, 835 received

Loop,

sounds like you can accomplish that using a custom criteria, although you might only be able to use one per optimization run.

Regards,

ABCTG

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  #3 (permalink)
Elite Member
Sydney
 
Futures Experience: Intermediate
Platform: Multichart
Favorite Futures: Gold
 
Posts: 26 since Aug 2016
Thanks: 22 given, 4 received


Hello

Its not that I want to optimize a new variable. My problem is that in the reporting of different optimization result I do not know:

What result produces the highest percentage return. (R)

Each set of parameters lead to different number of trades and different percentage return on each trade. If I multiply all returns with each other from all trades I get the strategies total percentage return.

As example, a strategy returns 100 trades with percent returns (R1, R2...R100)

Rx= (1+r) and r= percentage profit or loss on trade

If I multiply all these R with each other I get the strategies total R.

How can I see the different Rs for the different optimization results?

As easy example, a strategy returns 2 trades. One trade makes 10% and the other loses 5%, R1=(1.1) and R2=(0.95)

Total R = (1.1)*(0.95) = 1.045 or 4.5%

I would like to see and sort optimized results by R!!

Kind regards

Loop

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  #4 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,462 since Apr 2013
Thanks: 224 given, 835 received

Loop,

to my understanding you don't have to optimize on the custom fitness value, but you could still use it to show the outcome of R in your reports using it (or sort by it).

Regards,

ABCTG

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  #5 (permalink)
Trading Apprentice
Bangkok Thailand
 
Futures Experience: Intermediate
Platform: IB, MC
Favorite Futures: Forex, CL, ES
 
Posts: 29 since May 2016
Thanks: 14 given, 10 received

What about adjusting the position size according to profit / loss of the strategy?

For example, you start with $10,000. You set your trade size according to that.
First trade earned 10%, $10,000 + NetProfit is $11,000. You calculate trade size according to $11,000.
Next trade loses 5%. You got to $10,450, and so on.

Then, the Net Profit in the performance report will reflect the multiplied returns.

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