Topic: Optimize Options
Not sure if this has been proposed in the past, but would it be possible to Optimize by Win/Loss, Profit Factor, etc instead of Pip count? Or at least have the option?
Re: Optimize Options
I support this .
- Popov
- Lead Developer
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Re: Optimize Options
My experiment shows that the win / loss factor can lead to a strategy with one deal with profit $0.01. In that case the win/loss factor is + infinity. If your strategy has 1000 profitable trades and one losing, the win/loss ratio will be immeasurable lower than + inf. So the program will never show a strategy with even 1 losing trade and all other strategies will be evaluated equally.
- Opioid
- Member
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Re: Optimize Options
But maybe an option "Minimum Trades" similar to the Generator could be added, to prevent cases like this?
- geektrader
- Licensed Member
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Re: Optimize Options
Take a look at "Adaptrade Builder" software please, this shows how to implement really great optimizing goals. I am sure this can be achieved in FSB as well.
Re: Optimize Options
Perhaps instead of strictly win/loss ratio, there may be another way to solve the problem when stated as: favor parameters where the equity balance goes somewhat consistently up, instead of a high ending balance but with high up and down swings.
Maybe an indirect approach could help, these are some of my ideas if they may be possible:
- parameter to set maximum number of allowed consecutive losses
- Fractal Dimension Indicator -- or some way to estimate the straightness vs. curviness of the equity line
- connect the peaks and troughs, then check how wide they are or ensure they have positive slopes
For a lot of my strategies, with enough data, the Equity line looks like a Forex chart. I wonder if it could be solved by applying trend detecting indicators to the Equity line?
thanks
- geektrader
- Licensed Member
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Re: Optimize Options
The key is measuring deviation. High Net Profit with low deviation of the curve would be the best optimizing goal I guess.