Best fitness function for TradeStation Optimization?

MasterYan 

Best fitness function for TradeStation Optimization?

TS Index, which roughly measures reward to risk.

Use one of these, depending upon your trading objectives. No one "best" fitness function.

TS (TradeStation) Index

A fitness function that maximizes the Net Profit and Winners while minimizing Intraday Drawdown. It calculates the Net Profit * NumWinTrades / AbsValue (Maximum Intraday Drawdown).

Expectancy Score (Van Tharp)

A fitness function that measures Expectancy x Opportunity. Based on a calculation by Van K. Tharp.

Expectancy = (AW x PW + AL x PL) / |AL|
(expected profit per dollar risked)
AW = average winning trade (excluding largest win)
PW = probability of winning : PW = (Winning trades-1) / NST
AL = average losing trade (negative, excluding scratch losses)
|AL| = absolute value of AL
PL = probability of losing (PL = {non-scratch losses} / NST)

Opportunity = NST / StudyDays
NST = {total trades} - {scratch trades} - 1

*In other words, NST = non-scratch trades during the period under test (a scratch trade loses commission + slippage or less) minus 1
StudyDays = calendar days of history being tested

Pessimistic Return on Capital (PROC)

A fitness function that represents a very conservative value for Return on Capital (ROC). It calculates the AvgWin*(NumWinTrades) - SquareRoot(NumWinTrades))+AvgLoss*(NumLossTrades + SquareRoot
(NumLossTrades))) / Capital.
NumWinTrades = number of winning trades, NumLossTrades = number of losing trades, AvgWin = GrossProf/NumWinTrades, and AvgLoss = GrossLoss/NumLossTrades.

Perfect Profit Correlation (PPC)

Calculates the correlation of the actual equity curve vs. a "perfect" curve as if the strategy was able to buy every bottom and sell every top. The genetic optimizer will target an equity curve, that closely matches
a "perfect" equity curve.

Return of Maximum Drawdown

Calculates the ratio between the net profit and maximum drawdown. This provides the best selection of the set of input parameters that maximizes net profit,
but at the same time minimizes the maximum drawdown. This is similar to the TradeStation index above.

Total Net Profit / Maximum Drawdown

Hope that helps.

SEGroup 

Use one of these, depending upon your trading objectives. No one "best" fitness function. TS (TradeStation) Index A fitness function that maximizes the Net Profit and Winners while minimizing Intraday Drawdown. It calculates the Net Profit * NumWinTrades / AbsValue (Maximum Intraday Drawdown). Expectancy Score (Van Tharp) A fitness function that measures Expectancy x Opportunity. Based on a calculation by Van K. Tharp. Expectancy = (AW x PW + AL x PL) / |AL| (expected profit per dollar risked) AW = average winning trade (excluding largest win) PW = probability of winning : PW = (Winning trades-1) / NST AL = average losing trade (negative, excluding scratch losses) |AL| = absolute value of AL PL = probability of losing (PL = {non-scratch losses} / NST) Opportunity = NST / StudyDays NST = {total trades} - {scratch trades} - 1 *In other words, NST = non-scratch trades during the period under test (a scratch trade loses commission + slippage or less) minus 1 StudyDays = calendar days of history being tested Pessimistic Return on Capital (PROC) A fitness function that represents a very conservative value for Return on Capital (ROC). It calculates the AvgWin*(NumWinTrades) - SquareRoot(NumWinTrades))+AvgLoss*(NumLossTrades + SquareRoot (NumLossTrades))) / Capital. NumWinTrades = number of winning trades, NumLossTrades = number of losing trades, AvgWin = GrossProf/NumWinTrades, and AvgLoss = GrossLoss/NumLossTrades. Perfect Profit Correlation (PPC) Calculates the correlation of the actual equity curve vs. a "perfect" curve as if the strategy was able to buy every bottom and sell every top. The genetic optimizer will target an equity curve, that closely matches a "perfect" equity curve. Return of Maximum Drawdown Calculates the ratio between the net profit and maximum drawdown. This provides the best selection of the set of input parameters that maximizes net profit, but at the same time minimizes the maximum drawdown. This is similar to the TradeStation index above. Total Net Profit / Maximum Drawdown Hope that helps.

Wow! Thanks!
What fitness function are you using?

It depends on the strategy, the markets traded, the resolution and your trading objectives. It is not a one size fits all. You can run each one and see how the performance plays out. Each fitness function will usually prove a different set of optimum settings and results.

I've never found an "optimum" fitness function in all the research I have done. Most people search for the perfect fitness function just like they focus on the perfect indicator, perfect strategy, etc.

Looking for the best with anything in trading is almost never the best going forward.

MasterYan 

Wow! Thanks! What fitness function are you using?

It does depend on the strategy in a general sense.
There are only 2 fitness functions worth utilizing in TradeStation in this order for breakout/momentum trading:
1. Trade Station Index
2. Net Profit

For other strategies you will need contributions from someone who has done the hard yards to figure what works for them like kevindog.
That's my 2 eurocents.
L