I was just wondering if I can code an optimization fitness file that I can rank the performance by the order name it submitted in backtest.
Here's an example:
I submit only limit orders in my strategy using unmanaged method, and for each order it has a name, like "STOP LOSS" or "PROFIT TARGET", "LONG #1", ''BREAKEVEN" etc.
What I want to do is I can tell the optimization to detect whether all types of orders have been triggered, so that I know those functions are truly kicking in. However because they are all limit orders and only carry different names, I wonder how can I detect them.
Thanks,
Ye
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