How to optimize your strategy with the Sortino ratio on Tradestation or Multucharts?

October 29th, 2019, 03:26 PM

Does any one use the Sortino ratio or the Omega ratio for backtesting optimization in Multicharts or Tradestation?
Many years ago I asked on MC forums how to do it and they replied it wasn't possible because at that moment MC didn't allow to use per bar information, just per trade information.

Now I would like to try again in the trading world. And it seems that MC allows to use the Sortino ratio with SetCustomFitnessValue() and the proper PowerLanguage functions.
But I don't know what are thoses functions.

Could you tell me how to do it, please? Or do you have it already implemented?
I think I just need the accumulated profit calculated at every bar.
OpenPositionProfit provides the profit o a bar basis but only for the last open trade.

I also need the number (position) of the current bar.

October 30th, 2019, 07:40 PM

Perform the calculation yourself and write the results to a csv file. The just sort the csv.

ABCTG · October 31st, 2019, 04:38 AM

skan,

you are correct in Multicharts you can use a Custom Fitness Value, but the logic for that will have to be coded. You can take a look at this link that uses the built-in Sharpe Ratio code and you can probably use this as a basis for your work:

https://www.multicharts.com/discussion/viewtopic.php?f=1&t=12625&p=64815

Regards,

ABCTG

How to optimize your strategy with the Sortino ratio on Tradestation or Multucharts?

Discussion in EasyLanguage Programming

How to optimize your strategy with the Sortino ratio on Tradestation or Multucharts?