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!!
The following user says Thank You to Loop for this post:
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.
The following user says Thank You to TraderWalrus for this post: