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 Post subject: Optimization Paramter
PostPosted: Wed Nov 14, 2007 12:03 am 
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Joined: Thu Oct 25, 2007 12:11 am
Posts: 86
Location: Austin, Texas
Please add feature that optimization can be performed on user-defined cost functions (for example, number of pos trades, or Sharpe ratio, etc) instead of just FinalWelath and MaxDrawdown.

Thanks,
DFT


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 Post subject:
PostPosted: Mon Jan 28, 2008 8:47 pm 
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Joined: Mon Jan 28, 2008 8:12 pm
Posts: 3
I fully support the previous request of being able to add even a customer objetive function to be optimized just instead of a predefine list of parameters.

Could you please let us know if this is already schedulled and by when ?


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 Post subject:
PostPosted: Tue Jul 28, 2009 1:52 am 
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Joined: Thu Mar 16, 2006 12:15 pm
Posts: 184
I definately see it that way, too!

_________________
Expect the unexpected. May your MM/RM be with you.


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 Post subject:
PostPosted: Wed Jun 16, 2010 12:03 pm 
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Joined: Wed May 05, 2010 9:49 pm
Posts: 562
+1 for all this
Optimization looks very shabby.
Opt result must contain all necessary information with the ability to sort, manage and build the surfaces of results by type (at least 2d)
Also need opportunity to manage optimization parameters for make better speed simulation etc
ps no offense, but look at the tester MT5...


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PostPosted: Tue Jun 05, 2012 7:12 pm 
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Joined: Tue May 01, 2012 6:46 pm
Posts: 97
I also support this request!

Anton, do you have this on your todo list for the nearest future? please let us know
thanks

regards,
Ivan


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PostPosted: Wed Aug 22, 2012 12:28 pm 
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Joined: Tue May 01, 2012 6:46 pm
Posts: 97
Actually the request of this topic can be achieved (at least partly)

From the Strategy, for example in OnStrategyStop() you can access the results parameters like following:

OpenQuant.API.Engine.IDE.Solution.Projects[0].Statistics.TotalTrades
OpenQuant.API.Engine.IDE.Solution.Projects[0].Statistics.TotalPnL
OpenQuant.API.Engine.IDE.Solution.Projects[0].Statistics.WinningTrades
....
etc...

But there is one problem - it works fine when i run the strategy manually (simple click "Run") - it gathers the results.
But when I run the optimization - after each optimization loop I call the methods above but it returns the results of the 1st optimization loop. seems that i do something wrong.. can you please help me to solve this problem.

here is my code:
I have a lot of instrument in the project, so I've used statics to call the code only once

Code:
public override void OnStrategyStart()
   {
      if(!OnStrategyStartDoneFirst) {
         OnStrategyStartDoneFirst=true;
         OnStrategyStopDoneFirst=false;
      }
   }
   public override void OnStrategyStop()
   {
      if(!OnStrategyStopDoneFirst) {
         OnStrategyStopDoneFirst=true;
         OnStrategyStartDoneFirst=false;
         AddLog(OpenQuant.API.Engine.IDE.Solution.Projects[0].Statistics.TotalTrades.ToString());
      }
   }


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