![]() ![]() This is similar to the TradeStation index above. This provides the best selection of the set of input parameters that maximizes net profit,īut at the same time minimizes the maximum drawdown. Typically no history further than 1 bar back needs to be saved. The genetic optimizer will target an equity curve, that closely matchesĬalculates the ratio between the net profit and maximum drawdown. Calculation time is fast because usually no loops are required to execute on every bar. a "perfect" curve as if the strategy was able to buy every bottom and sell every top. NumWinTrades = number of winning trades, NumLossTrades = number of losing trades, AvgWin = GrossProf/NumWinTrades, and AvgLoss = GrossLoss/NumLossTrades.Ĭalculates the correlation of the actual equity curve vs. Studies are technical indicators that calculate certain values for each bar on chart. It calculates the AvgWin*(NumWinTrades) - SquareRoot(NumWinTrades))+AvgLoss*(NumLossTrades + SquareRoot We can use the built-in search and quickly find the right one. ![]() StudyDays = calendar days of history being testedĪ fitness function that represents a very conservative value for Return on Capital (ROC). ![]() A 5 day average of 4 million means that the stock has traded an average of 4 million shares per day, over the last 5 days. A 6 month average of 1 million means that the stock has traded an average of 1 million shares per day, over the last 6 months. *In other words, NST = non-scratch trades during the period under test (a scratch trade loses commission + slippage or less) minus 1 It is usually expressed as the 6 month, 3 month, 30 day, 10 day or 5 day average. PW = probability of winning : PW = (Winning trades-1) / NSTĪL = average losing trade (negative, excluding scratch losses) Tharp.ĪW = average winning trade (excluding largest win) It calculates the Net Profit * NumWinTrades / AbsValue (Maximum Intraday Drawdown).Ī fitness function that measures Expectancy x Opportunity. No one "best" fitness function.Ī fitness function that maximizes the Net Profit and Winners while minimizing Intraday Drawdown. Use one of these, depending upon your trading objectives. ![]()
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