[Build 119] Allow mix of backtests for weighted Strategy Quality ranking (fitness) score

Hello,



It would be super cool if we could combine multiple backtest sources in the Weighted Fitness criteria. For example, if it could include both a Profit Factor for the Main Data and a Profit Factor for the Additional Market retests as a combined fitness score. This would allow us to genetically optimize for robustness (in addition to optimizing for the Main Data backtest) instead of just optimizing for the best Main Data backtest.


Ryan

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  • Votes 0
  • Project StrategyQuant X
  • Type Feature
  • Status Refused
  • Priority Normal

History

RH
#1

rhartstein

27.03.2019 23:08

Task created

MF
#2

Mark Fric

02.12.2019 14:43

Status changed from New to Refused

this is already possible. In Ranking you can choose to compute fitness from Portfolio, not just main backtest

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