Essentially when running optimizations, you end up with a number of viable parameter sets that, and i am just looking for a better way to sift through these.
I am currently running optimization by balance, by pf, by drwadown%, combining these in a pivot table and seeing where i might have matching parameter values. Looking at the equity curve for each parameter set would take too long, so I was hoping to have a mathematical representation of equity curve smoothness instead, that could be compared to others.
With build 600+ where we now have the ONTester() function, and in Strategy tester there is now a "Custom" option.
How could you build an optimization parameter that was Equity curve Smoothness?
Has anyone attempted this? Does anyone have a formula for achieving something similar?
Or if not as a optimization parameter then have it as a value ouput/result from the optimization.
I have been searching the net but not seen anything conclusive about how this could be achieved. I have seen that CAR/MDD can be a useful output, but not sure if this is exactly what I am after.
Does the ONTester() work? - some of the threads i have seen suggest not at the moment.