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Strategy Tester CustomMax on every trade

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Burton 2012.09.26 00:21 

Hello, MQL Community!

I have an idea of a CustomMax fitness function with its value to be adjusted on every trade. My question is: how to approach this problem?

Do I need to design my own class/struct/enum and adjust the values of its members inside the OnTrade() function of every expert that I test and then use it in OnTester(); or do I make use of a global variable instead (there isn't much difference between those 2 though); or is there a more sophisticated approach like expanding Tester Stats Enum somehow to have a new variable STAT_BURTONSVALUE (if variables of that enumeration are adjusted on every trade and don't use trading history, I'm not sure of inner workings of the tester) or OOP equivalent to that; or maybe there is a simple and elegant solution, which I lack brains to invent?

It might sound stupid to all you seasoned folks, but eh, you know what they say: there are no stupid questions! Thank you for all the help you can give me.

P.S. I need to get stats on every single trade my experts make, that is to keep track of more data than trading history can provide.

Looking forward to your replies!


Burton 2012.09.26 19:44  

I only asked in order not to spend time coding something that will not work. I guess I'll have to learn on my own mistakes. Still can't believe nobody tried a similar thing thus far.
Rogerio Figurelli
Rogerio Figurelli 2012.09.26 22:54  

Hi Burton,

I really work hard to have the best Custom Max strategies on my EAs (like some examples I published in the forum Market).

I have tried similar ideas in the past, but in my opinion, if I change the Custom Max each trade I can easily generate a overfitted condition, i. e., unreal adjutstments relative to the size of the sample leading to unreal state.

Well, this is my vision and this may be a paradigma and for some strategies this can be a good idea.

By the way, I consider an excellent subject for reflection and study in trading systems and quantitative area in general.


Burton 2012.09.27 05:34  

Thank you very much, figurelli! I know what you mean by overfitted conditions, I guess I'll have to be super careful of how I award points to EAs, coz I'm still willing to give it a go: the idea eats my mind from within. I'll definitely do some forward testing as well for better reliability. At least now I know that it might just work!

Thanks again! I'll post the results if it is a success.

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