custom fitness

August 13th, 2016, 06:43 PM

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

ABCTG · August 14th, 2016, 06:00 AM

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

August 16th, 2016, 03:03 AM

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

ABCTG · August 16th, 2016, 05:08 AM

Hi Loop,

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

Regards,

ABCTG

custom fitness

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custom fitness