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.

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