OptimizationFitnesses

[tornadoatc]

Hello,

I do not find any documentation on OptimizationFitnesses.

I am trying to determine how the strategy optimization process know whether the Fitness Function should be maximized or minimized. Looking at the various ones provided it seems the only indication is based on the name being prefixed with "Min" or "Max". Is this correct and therefore a requirement to naming an OptimizationFitness?

Also, please confirm the value stored in "Value" is to be optimized.

Thanks,

[NinjaTrader_DaveI]

Hello,

This can be confusing at first glance, but it is actually a simpler concept than you might expect. In all cases, the Optimizer is looking for the highest value returned by the Optimization Fitness Metric. If you are looking at Max Net Profit, for example, it will be looking for the highest numeric value of net profit. If you are looking at Min DrawDown, on the other hand, you are looking for the highest numeric value of drawdown. Consider a drawdown of 10 points, which would numerically be expressed as -10, compared to a drawdown of 2 points, which would be expressed numerically as -2. All the Optimizer cares is that -2 is greater numerically than -10, so it considers -2 (the higher value) to be the minimum drawdown between these two.

If you take a look at the code for some of the Min and Max Fitness Metrics in the Custom project, you will see that each one is simply returning a performance value, but is not differentiating whether "max" or "min" is best. This is because, in each case, when you want to minimize something bad, like MAE or drawdown, the Optimizer simply needs to look for the set of results with the highest numeric value, which minimizes the negative impact of that statistic.