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Forums>StrategyQuant>Application Support>How do we change the criteria for “Optimize Strategy” tasks?

  • #266665 |
    Customer
    109 Posts

    <span style=”text-decoration: underline;”>Summary: </span>

    How do I specify that the optimizer use Return/DD and ignore profit?

    <span style=”text-decoration: underline;”>Detail:</span>

    In the documentation for strategy optimization, it specifies:

    “The optimization means to test the system with different parameter values to find the optimal values of these parameters (giving highest profit or best Return/DD ratio).

    However, it seems to only use highest profit to define “best”. Unfortunately, for my needs, I am not interested in highest profit.

    In the ranking tab,  I specified R/DD as criteria for fitness ranking, but the optimization task doesn’t honor that setting.

    Please advise.

     

    #266698
    tomas262
    Administrator
    1826 Posts

    Hello,

    it works for me well. When I set for example optimize using ranking criteria “Minimize (Avg Bars in Trade)” it returns the best setting to meet this and very different equity compared to when Net profit or Ret/DD is used

    Optimization results for max Ret/DD vs Net Profit can return very similar results often

    #266705
    Customer
    109 Posts

    Thanks for your response. I know you guys are busy making the product nbetter, so I appreciate it.

    “Optimization results for max Ret/DD vs Net Profit can return very similar results often”

    This is a very good point, although it seemed that the ranking score correlated with profit and note RDD.

    “When I set for example optimize using ranking criteria “Minimize (Avg Bars in Trade)” it returns the best setting”

    If you say it should work, I believe you, and will revisit this again. I’m assuming you are doing this via the “Weighted Fitness” option. I will try it out.

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