Fast genetic based algorithm, Complex Criterion Max.

 

Has anyone used this optimization option? Any guide for its use please ...

Complex Criterion Max

 
Antonio Simon Del Vecchio: Has anyone used this optimization option? Any guide for its use please ...

When in doubt, search and read the documentation ....

MetaTrader 5 HelpAlgorithmic Trading, Trading Robots Optimization Types

Optimization Criterion

An optimization criterion is a certain factor, which value defines the quality of a tested set of parameters. The higher the value of the optimization criterion, the better the testing result with the given set of parameters. Such a factor can be selected in a field to the right of "Optimization" on the Settings tab.

The optimization criterion is required only for the genetic algorithm.

The following optimization criteria are available:

  • Balance max — the highest value of the balance.
  • Profit Factor max —  the highest value of the profit factor.
  • Expected Payoff max — the highest value of the expected payoff.
  • Drawdown max — in this case, the drawdown level is taken into account: Balance/Equity drawdown.
  • Recovery Factor max — the highest value of the recovery factor.
  • Sharpe Ratio max — the highest value of the Sharpe ratio.
  • Custom max — the optimization criterion here is the value of the OnTester() function in the Expert Advisor. This parameter allows using any custom value for the optimization of Expert Advisors.

Another option is to use "Complex Criterion max". This is an integral and complex measure of a test pass quality. It measures multiple parameters:

  • Number of Deals
  • Drawdown
  • Recovery Factor
  • Expected Payoff
  • Sharpe Ratio

By using this criterion, you can see that the highest value of one parameter (for example the profit) is not always the best option in terms of the complex analysis. The complex criterion gradually selects the best passes: firstly, by the number of deals, then by the Expected Payoff, Recovery Factor, and so on. The new option allows reception of the best optimization passes according to all parameters. Furthermore, you can select the optimal pass based on the desired parameter, such as the highest profit.


 
Fernando Carreiro:

When in doubt, search and read the documentation ....

MetaTrader 5 HelpAlgorithmic Trading, Trading Robots Optimization Types

Thank you!

 
Fernando Carreiro #:

When in doubt, search and read the documentation ....

MetaTrader 5 HelpAlgorithmic Trading, Trading Robots Optimization Types

Thank you for replying in this efficient fashion which save our time.
 

Wow. I've been using strategy tester heavily, every day for like 6 months and didn't know what this was -- figured I'd get to it some day, because it's "complex" (says so right there), and I figured I'd start with simple.

This is a huge boost to my genetic optimization process. I was typically running three passes on different criteria, then throwing it all into Excel to sort it like I wanted. This'll be a big time-saver.

 
Reading the doc is usually a big time saver.
Reason: