SetCustomFitnessValue() keyword in your strategy

May 25th, 2016, 10:27 PM

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?

May 26th, 2016, 10:44 PM

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);

ABCTG · May 29th, 2016, 05:36 AM

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

May 29th, 2016, 10:18 PM

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.

ABCTG · May 30th, 2016, 03:02 AM

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

SetCustomFitnessValue() keyword in your strategy

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SetCustomFitnessValue() keyword in your strategy