Hello

I would like to optimize various strategies and sort result based on percentage instead of values. Highest average % return etc.

After all, we are seeking highest possible percentage return in our trades. Or lowest percentage loss on trades or similar..

Kind regards

Loop

Loop,

sounds like you can accomplish that using a custom criteria, although you might only be able to use one per optimization run.

Regards,

ABCTG

Hello

Its not that I want to optimize a new variable. My problem is that in the reporting of different optimization result I do not know:

What result produces the highest percentage return. (R)

Each set of parameters lead to different number of trades and different percentage return on each trade. If I multiply all returns with each other from all trades I get the strategies total percentage return.

As example, a strategy returns 100 trades with percent returns (R1, R2...R100)

Rx= (1+r) and r= percentage profit or loss on trade

If I multiply all these R with each other I get the strategies total R.

How can I see the different Rs for the different optimization results?

As easy example, a strategy returns 2 trades. One trade makes 10% and the other loses 5%, R1=(1.1) and R2=(0.95)

Total R = (1.1)*(0.95) = 1.045 or 4.5%

I would like to see and sort optimized results by R!!

Kind regards

Loop

Loop,

to my understanding you don't have to optimize on the custom fitness value, but you could still use it to show the outcome of R in your reports using it (or sort by it).

Regards,

ABCTG

What about adjusting the position size according to profit / loss of the strategy?

For example, you start with $10,000. You set your trade size according to that.
First trade earned 10%, $10,000 + NetProfit is $11,000. You calculate trade size according to $11,000.
Next trade loses 5%. You got to $10,450, and so on.

Then, the Net Profit in the performance report will reflect the multiplied returns.