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SetCustomFitnessValue() keyword in your strategy


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SetCustomFitnessValue() keyword in your strategy

  #1 (permalink)
 fiverr 
Calgary
 
Experience: None
Platform: TradeStation, MT4
Trading: ES, Stocks
Posts: 73 since Aug 2015
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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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  #3 (permalink)
 fiverr 
Calgary
 
Experience: None
Platform: TradeStation, MT4
Trading: ES, Stocks
Posts: 73 since Aug 2015
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Thanks Received: 11


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)
 ABCTG   is a Vendor
 
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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)
 fiverr 
Calgary
 
Experience: None
Platform: TradeStation, MT4
Trading: ES, Stocks
Posts: 73 since Aug 2015
Thanks Given: 4
Thanks Received: 11

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)
 ABCTG   is a Vendor
 
Posts: 2,431 since Apr 2013
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Thanks Received: 1,623

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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