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Posts: 3

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Topic: Custom Sorting in Generator

I posted some time ago (http://forexsb.com/forum/topic/2961/con … generator/) about a concept to control how the Top 10 list is created in the generator.  Although I have been side-tracked by other items, I now have a working prototype of this functionality.

The feature has been built into an external (referenced) assembly that is called by FSB when the 'Use custom strategy sorting' option is enabled, and a sort order has been selected, as per the image below.

http://s1.postimage.org/9chzhw13f/Capture.jpg

The reason for using an external assembly (DLL) is to allow the custom sorting options to be modified without the need for a full release of FSB to be performed, particularly that (at least in the medium term), this feature is probably best classified as 'experimental'.

At this stage, I have implemented Balance (this is the same as the default sorting that is built into FSB) along with sorting by:

  • Correlation (on Balance with Transfers)

  • Correlation (on Balance)

  • Correlation (on Equity with Transfers)

  • Correlation (on Equity)

  • Profit Factor

  • Win/Loss Ratio

The Correlation filter (uses the 'Pearson Correlation' algorithm) provide a means to sort by the smoothest equity curve.

I also plan on implementing logic to support 'System Quality Number' as I use this occasionally.

From my original post, other suggestions for filters were Sharpe Ratio and Fewest Consecutive Losses.

Are there any other suggestions for custom strategy sorting that people are interested in?

2

Re: Custom Sorting in Generator

Further to this concept, the Top 10 output list has been modified to display the custom sorting name and value (other than the win/loss ratio which is the default slot display in the the Top 10 list).  An example is in the image below.

http://s13.postimage.org/7i7o4o8tf/Capture.jpg

Note that in the above example, the Top 10 is sorted by the 'Correlation (Balance)' value and not by 'Account Balance'.

I have also added Average Holding Period Returns (AHPR) and Geometric Holding Period Returns (GHPR) to the custom sorting list.

Re: Custom Sorting in Generator

Definetly this modification will be included in the core of FSB.

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