Add new fitness function to evaluate the profitability of a strategy by itself

Thanks to the developers!



Can SQX develop an new fitness function to evaluate the profitability of a strategy?

It is described as the profit of the strategy divided by the potential maximum possible profit.The potential maximum possible profit is able to buy every bottom and sell every top,it is the sum of all low and high profits in the same time frame.The function can be divided into three subdivisions: total profit, only long profit, and only short profit.



This new function is very useful,there is a similar fitness function in Tradestaion (Strategy Optimization), it's called "Perfect Profit Correlation",it's described"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. "

So this should be a common need and very useful, otherwise Tradestation would not put in the base indicator either.



SQX needs to include indicators to assess the profitability of the strategy itself, Please assess the requirement.

If you need help,I have a simplified version of the indicator written by Multicharts. Or you can develop your own, more scientific, based on the description.



Thank you