Minium number of trades per year in fitness formula is not working?

Minium number of trades per year in fitness formula is not working?

Christian
2018-09-03 14:00:00

I am using the fitness formula from SystemTra.de and I made a small modification on the number or trades. line.
I replaced the fixed value of trades with the formula YearlyReturn.Count * 25, but that formula is not working.
Could somebody tell me, whats wrong on that coding line?

bool ok = NumberOfTrades >= YearlyReturn.Count * 25;
double[] parameters = {AnnualReturn, MaximumSystemDrawdownInpercentage, SharpeRatio};
double[] weight = {10, 10, 5};
double[] worst_value = {0, -30, 0.5};
double[] best_value = {30, -10, 2};

// ---------- end of parameterization ----------

double fit_param = 0;
double total_weight = 0;
if (ok)
{
for (int i = 0; i < parameters.Length; i++)
{
total_weight = total_weight + weight[i];
if (best_value[i] != worst_value[i])
fit_param = fit_param + weight[i] *
(Math.Max(Math.Min(parameters[i], best_value[i]), worst_value[i]) - worst_value[i]) /
(best_value[i] - worst_value[i]);
}
if (total_weight != 0) Fitness = 100 * fit_param / total_weight; else Fitness = 0;
}
else
Fitness = 0;

QuantShare
2018-09-03 17:51:55

You are comparing number of trades with Yearly return. That is of course not correct.

Christian
2018-09-04 03:35:43

Let me describe the problem more detail, maybe you know a different way to solve.
On the optimizer you can only use one fitness formula for the in sample and out of sample tests.
Normally I make 80% in sample and 20% out of sample test and often I got not enough trades on the out of sample test.
With my formula, I want to count the years and multiplicate it with 25 trades per year.
For example, I have 10 years data and 80% for the in sample test (8 years) and two years for the out of sample test (2 years).
So I need minimum 200 trades for the in sample and 50 trades for the out of sample test.
If I use the fixed value of 200 trades I often get no results on the out of sample test, because there are not so much trades.
Now I was thinking that formula [YearlyReturn.Count] count the years of the test period and I must only multiplicated with 25.

On a other thread I found your fitness formula:
bool posYears = true
for(int i=0;i < YearlyReturn.Count;i++)
{
if(YearlyReturn[i] < 0)
{
posYears = false;
break;
}
}
if(posYears)
{
Fitness = AnnualReturn;
}
else
{
Fitness = double.NaN;
}

That formula is also using the same statement to control the loop?

QuantShare
2018-09-07 08:27:42

I see. That formula is trying to detect whether there is was one year with negative return. If yes then return Nan, otherwise return the AnnualReturn.

Christian
2018-09-07 12:18:40

Now we know, with that statemend we got the years of the simulation, but why is my reduced formula not working?
I tried it agein with an extra variable, but it's also not working, see here:

double vMinTrades = YearlyReturn.Count * 25; // Minimum trades per year
bool ok = NumberOfTrades >= vMinTrades; // Eenought trades?
if (ok)
{
Fitness = SharpeRatio; //or something else // If yes, set the fitness value
}
else
Fitness = 0;

SystemTrade
2018-09-07 14:27:06

I just checked your formula (the last one you posted today) - it works! - so the problem must be somewhere else.
Periods can be set in the trading system and in the optimizer as well, please check if they are the same. What happens if you just put Fitness=YearlyReturn.Count without the "ok" logic? Will the result be the number of years in your trading system?

Off topic: pls expect an answer to your email some time next week

Christian
2018-09-07 15:19:38

Now I have adjusted the optimizer from 01.Jan.2000 to 31.Dez.2014 and I have modified the formula, see here:

double vMinTrades = YearlyReturn.Count * 25;
OptimizerMetrics.AddMetric("Years",YearlyReturn.Count);
Fitness = vMinTrades ;

Now I got the following results, on the fitness column 350 and on the year column 15
The calculation is more or less correct (one year to much), but if I use the "OK" logic it is not working anymore.
I am getting trading systems with lower amount of trades?

Christian
2018-09-12 13:28:18

Now it's working, thank you :)

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