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custom fitness
Started: by Loop Views / Replies:248 / 3
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custom fitness

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

custom fitness

Hello Traders

does anyone know how to code custom value in optimization report so it shows the product of all trades return?

In trade report we can see the percentage return for each trade, I would like to multiply them all to get the total return and then sort in optimization report.

Example: System gives 2 trades, one returns 10% and one -3%. I would like to; (1.1)*(0.97)=R and then show R in custom value.

I would like to do the same for the geometric mean of the R.

These 2 numbers is the "true" raw return on any strategy before MM.

Many Thank you

Loop

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  #2 (permalink)
Elite Member
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,260 since Apr 2013
Thanks: 201 given, 711 received

Loop,

you can compute the percentage for each trade when it's closed and keep a running total of R within your signal for example.
This seems to be simpler than looping over all trades and compute R on the last bar.

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

Help


Hi ABCTG

it seems you are on top of the Easy language game! Can you help with custom programming? How do I contact you?

Kind regards

Loop

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  #4 (permalink)
Elite Member
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,260 since Apr 2013
Thanks: 201 given, 711 received

Hi Loop,

you can send me a PM for example and we take it from there.

Regards,

ABCTG

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