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SetCustomFitnessValue() keyword in your strategy
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SetCustomFitnessValue() keyword in your strategy

  #1 (permalink)
Elite Member
Calgary
 
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Favorite Futures: ES, Stocks
 
Posts: 73 since Aug 2015
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SetCustomFitnessValue() keyword in your strategy

Hi there,

I am testing and optimizing my strategy from 2000 to 2016; however, I would to pay attention to a certain period. This is what I have in mind:

 
Code
	  

total_profit_selected_range = from 2004.06.14 to 2005.12.01
	         FitnessVal =  StrategyPerformance.NetProfit / (-StrategyPerformance.MaxStrategyDrawDown)* total_profit_selected_range
         SetCustomFitnessValue(FitnessVal);
Can someone show me how to implement this?

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Calgary
 
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here is what I am thinking

 
Code
 If Date => ELDate(2004, 06, 14)AND Date <=ELdate(2005,12,01) Then
      begin
      total_profit_selected_range = NetProfit + yesterdaynet;
     end;


     FitnessVal =  StrategyPerformance.NetProfit / (-StrategyPerformance.MaxStrategyDrawDown)* total_profit_selected_range
         SetCustomFitnessValue(FitnessVal);

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  #4 (permalink)
Market Wizard
Hamburg Germany
 
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Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
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fiverr,

where do you plan to implement this in MC? The code appears to be a mix of EasyLanguage and the code used for setting custom criteria - these won't work together as far as I am aware.

You can set the value for SetCustomFitnessValue directly with reserved words in the code.

If you take a look at your code below, I am not sure it would give you the result you are looking for.

 
Code
 If Date => ELDate(2004, 06, 14)AND Date <=ELdate(2005,12,01) Then
      begin
      total_profit_selected_range = NetProfit + yesterdaynet;
     end;
Assuming you go flat into the time period (with an open position it would be more complex), shouldn't the total_profit during the range be the NetProfit at the end of the range - Netprofit before the range. Which might be what your formula gives you, but it's not clear what value yesterdaynet holds.

Regards,

ABCTG

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  #5 (permalink)
Elite Member
Calgary
 
Futures Experience: None
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Favorite Futures: ES, Stocks
 
Posts: 73 since Aug 2015
Thanks: 4 given, 10 received

ABCTG,

Originally, I was thinking of implementing this in the custom optimization criteria.

if (StrategyPerformance.MaxStrategyDrawDown != 0)
{ return StrategyPerformance.NetProfit / (-StrategyPerformance.MaxStrategyDrawDown); * total_profit_selected_range }


I was told that there is no way of calculating total_profit_selected_range (profit from date x to date y) in the custom optimization criteria. The only solution is to use the SetCustomFitnessValue inside my PowerLanguage script. I am trying to get some direction on how to calculate profit from date x to date y inside my strategy script.

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  #6 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,529 since Apr 2013
Thanks: 230 given, 854 received
Forum Reputation: Legendary

fiverr,

in my opinion you have much more control and possibilities when doing it via SetCustomFitnessValue in the code directly. The first step should be to compute the value for the total_profit_selected_range variable and as I wrote in my post above it's not clear if you get the correct value for that.

Regards,

ABCTG

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