Modify Legacy Fitness Settings Dialog
The Modify Legacy Fitness Settings Dialog allows you to specify fitness settings used for optimizing predictions, entry/exit systems, and committees. It is specifically used to view and modify settings defined in the TradingSolutions v2.1 format, which allows multiple values to be combined.
This method of selecting fitness values is typically more cumbersome and less useful than the fitness values specified on the Modify Trading Style Dialog: Signal Optimization page. It is included primarily to view and modify settings associated with trading styles created in TradingSolutions v2.1 and earlier.
Setting the Values to Use for Optimization
The following columns are on this page.
p Evaluation Value
This is the value to be evaluated in the simulated trading.
¨ Importance
This value is the importance to having this evaluation value reach the specified target. Importance can be set to None, Low, Medium, or High. Items with None for their Importance are not included in the fitness calculation. Other items affect the fitness based on the level of importance they are assigned. See below for how this value is used.
¨ Target
This value is the desired target for this evaluation value. Values worse than the target are penalized. Values better than the target are rewarded.
Ä Note: No rewards are assigned for beating the minimum or maximum annual trades values.
The weight for each evaluation value is based on how far the actual value is from the target value versus the overall range of expected values. Therefore, all of the evaluation values are normalized to have approximately the same effect when given the same importance.
The fitness of the value is then calculated from the weight using the following tables.
Penalty For Not Reaching Target
None Not Used
Low -(W+1)
Medium -((W+1) ^ 2)
High -((W+1) ^ 3)
Reward For Beating Target
None Not Used
Low W
Medium W * 2
High W * 3
Ä Note: Medium and high penalties increase significantly faster than the corresponding rewards. This is to reinforce the importance of reaching the requested target. A more linear scaling can be achieved by setting less restrictive target values.
Selecting Evaluation Values
The following Evaluation Values are available. The "coefficient" specified for each is the normalization coefficient used to adjust the ranges to have relatively the same scale. The distance between the actual value and the target value is divided by this coefficient to arrive at the weight described above.
p Annualized Return
This value is the annualized return on the initial investment. It can be used to evaluate the overall profitability of the signal. This value is the annualized return on the investment from its initial value to its final value. Additional background information is available on the help for the Modify Trading Style Dialog.
(coefficient = 0.01, maximize)
p Minimum Annual Trades
This value is compared to the average number of trades per year. It can be used to avoid signals that do not produce many trades.
(coefficient = 0.5, maximize*)
Ä *Note: Minimum Annual Trades does not provide rewards for beating the target. Because of this, it may be necessary to set the target slightly higher to enforce an actual limit.
p Maximum Annual Trades
This value is compared to the average number of trades per year. It can be used to avoid signals that trade more frequently than desired.
(coefficient = 0.5, minimize*)
Ä *Note: Maximum Annual Trades does not provide rewards for beating the target. Because of this, it may be necessary to set the target slightly lower to enforce an actual limit.
p Draw Down From Investment
This value is the highest percentage loss from the overall initial investment.
(coefficient = 0.01, minimize)
Ä Note: Draw down targets should be expressed as positive percentages.
p Draw Down From High
This value is the highest percentage loss from the previous high equity over all trades.
(coefficient = 0.01, minimize)
Ä Note: Draw down targets should be expressed as positive percentages.
p Percent Wins
This value is the percentage of winning (profitable) trades versus the overall number of trades.
(coefficient = 0.01, maximize)
p Stops Executed
This value is the percentage of trades which were executed due to the stop price being reached.
(coefficient = 1, minimize)
p Limits Not Reached
This value is the percentage of attempted entries that were not successful due to the limit price not being reached.
(coefficient = 1, minimize)
p Average Trade Gain
This value is the average profitability of all of the trades combined.
(coefficient = 0.1, maximize)
p Average Win / Average Loss
This value is the average percent gain of all of the winning (profitable) trades over the average percent loss of all of the losing trades.
(coefficient = 0.1, maximize)
p Profit Factor
This value is the overall gain from all of the winning (profitable) trades over the overall loss from all of the losing trades.
(coefficient = 0.1, maximize)
p Exit Efficiency
This value is the percentage of the maximum gain for each trade that was achieved at the exit of each trade.
(coefficient = 0.01, maximize)
p Consecutive Losers
This value is the number of consecutive losing (unprofitable) trades.
(coefficient = 0.2, minimize)
p Sharpe Ratio
This value is the average percent change in equity of each bar over the standard deviation of those changes. This is useful as a basic reward-to-risk ratio. Higher Sharpe Ratios indicate that a greater amount of average profit could be made with less day-to-day volatility.
(coefficient = 0.1, maximize)
p Percent of Bars in Market
This value is the percentage of overall bars during which a trade is active.
(coefficient = 0.01, minimize)
What Do I Do Next?
When you are finished making any changes, press the OK button to save your changes. If you would like to exit from this dialog without performing any changes, press the Cancel button.
How Did I Get Here?
The Modify Legacy Fitness Settings Dialog is displayed when you press the Fitness Settings… button on the Modify Trading Style Dialog: Signal Optimization page.