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Jeremy Roach
2450
Jeremy Roach 2016.03.17 23:58 

Hi,

 When performing EA optimisation under MQL5, one of the comparative outputs is "Draw down %".

However, when a full report/backtest is run on that single string of inputs, the value that is used in the optimization output is actually the "Equity Drawdown maximal, as a percentage".

I do not find this particularly helpful. 

I feel that Equity drawdown relative/Balance DD relative and Balance Drawdown maximal are a lot more important. 

Does anyone know how I can extract those parameters in the optimisation process instead? Or be able to compute the parameters I need via regression analysis perhaps?

 

Thanks 

Jose Miguel Soriano
4941
Jose Miguel Soriano 2016.03.18 12:37  
Jeremy Roach:

Hi,

 When performing EA optimisation under MQL5, one of the comparative outputs is "Draw down %".

However, when a full report/backtest is run on that single string of inputs, the value that is used in the optimization output is actually the "Equity Drawdown maximal, as a percentage".

I do not find this particularly helpful. 

I feel that Equity drawdown relative/Balance DD relative and Balance Drawdown maximal are a lot more important. 

Does anyone know how I can extract those parameters in the optimisation process instead? Or be able to compute the parameters I need via regression analysis perhaps?

 

Thanks 

You can create custom performance ratios and optimize according to them.

See OnTester() function.

https://www.mql5.com/en/docs/constants/environment_state/statistics 

Documentation on MQL5: Standard Constants, Enumerations and Structures / Environment State / Testing Statistics
Documentation on MQL5: Standard Constants, Enumerations and Structures / Environment State / Testing Statistics
  • www.mql5.com
Standard Constants, Enumerations and Structures / Environment State / Testing Statistics - Reference on algorithmic/automated trading language for MetaTrader 5
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