Custom Fitness Function - Trading Software

Custom Fitness Function

clonex
2014-02-04 18:20:43

Sometimes You need to tell optimizer that you want to find solutions with minimum number of trades /signals.
The problem comes when you have longer In Sample and shorter Out of Sample Window.

In most of time you get in OS period NaN results. (AI OPTIMIZER)

To prevent this use :

Fitness in System:

DateTime dt1 = DateTime.Parse("2. 1. 2010 0:00:00");
DateTime dt2 = DateTime.Now;

if((DailyReturn.GetDate(DailyReturn.Count - 1) < dt1 && NumberOfTrades<100))
Fitness =Double.NaN;
else
Fitness = AnnualReturn;

Fitness in Rules:

DateTime dt1 = DateTime.Parse("2. 1. 2010 0:00:00");
DateTime dt3 = EndDate.Date.ToLocalTime();

if(dt3 <dt1 &&NbPositions<50)
Fitness = Double.NaN;
else
Fitness = OutputPerBar;

In both examples is end of IS window at 1.1.2010.

Get more messages

No more messages

Back


Trading Items Advanced Quotes and Custom Databases Function News parser function Upside-Downside and Custom Standard Deviation Sum of a Custom Database's Field Custom High/Low Range	How-to Lessons How to create a custom trading indicator How to use a custom drawing tool How to create a custom trendline How to add custom position-based metrics to your trading system How to get fundamental data for U.S. Stocks
Related Forum Threads Custom Fitness function in Ranking System Manager Custom Fitness Functions for Walk Forward Testing Custom Multi-Dimensional Fitness Formula (CMDFF) for Optimizer Optimization and fitness function for robustness vs for performan... Problem with performance calculation in custom function	Blog Posts Create custom metrics for the statistical data analysis tool Trading System Analysis: Backtesting report and custom measures Custom Indicator: Accumulation Distribution Line Custom Indicator: Relative Strength Custom Indicator: Moving average spread