Optimization Fitness Metrics

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Optimization Fitness Metrics

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Optimization fitness metrics are used as the targets of optimization tests to determine the optimal mix of strategy parameter values. Below is a list of all pre-loaded optimization fitness metrics and their definitions. Custom optimization fitness metrics can be developed via NinjaScript, as well.

 

tog_minus        Understanding Max % Profitable

Max % Profitable

This metric represents the percentage of profitable trades compared to the total number of trades placed in an iteration.

 

Number of winning trades / Total number of trades

tog_minus        Understanding Max Avg. Favorable Excursion

Max Average Favorable Excursion

This metric represents the average maximum run-up in profit during an iteration.

 

See the "Percent" formula for Average MFE on the Performance Statistics page.

tog_minus        Understanding Max Avg. Profit

Max Avg. Profit

This metric represents the average profit of all trades in an iteration.

 

See the "Percent" formula for Average Trade on the Performance Statistics page.

tog_minus        Understanding Max Net Profit

Max Net Profit

This metric represents the net profit achieved for all trades of an iteration.

 

Total gross profit / Total gross loss

tog_minus        Understanding Max Profit Factor

Max Profit Factor

This metric provides a ratio of total earnings to total loss in an iteration.

 

See the Profit Factor formula on the Statistics Definitions page.

tog_minus        Understanding Max R Squared (R^2)

R Squared (R^2)

Sometimes called the Coefficient of Determination, this metric measures how closely an iteration's results come to a fitted regression line.

 

((Total Trades * (Summation of Trades * Summation of Profit)) - (Summation of Trades * Summation of Profit) / SQRT((Total Trades * Total Summation of Trades ^ 2 - Summation of Trades ^ 2) * (Total Trades * Total Summation of Profit ^ 2 - Total Profit ^ 2))) ^ 2

tog_minus        Understanding Max Sharpe Ratio

Max Sharpe Ratio

This metric calculates risk-adjusted return.

 

(% Profit per month - risk free return) / monthly std. deviation
 
* if the monthly standard deviation is approximately 0, then set to 1

tog_minus        Understanding Max Sortino Ratio

Max Sortino Ratio

This metric modifies the Sharpe ratio by taking the standard deviation of negative returns into account to differentiate harmful volatility from general volatility.

 

(% Profit per month - risk free return) / monthly Ulcer Index
 
* if the monthly Ulcer index is approximately 0, then set to 1

tog_minus        Understanding Max Ulcer Ratio

Max Ulcer Ratio

This metric measures downside risk, with values increasing as the market price moves farther from a recent high.

 

See the Ulcer Index formula on the Statistics Definitions page.

tog_minus        Understanding Max Win/Loss Ratio

Max Win/Loss Ratio

This metric presents a ratio of the profit of winning trades to the loss of losing trades.

 

% average profit of winning trades / absolute value of % percentage average loss

tog_minus        Understanding Minimum Avg. Adverse Excursion

Minimum Avg. Adverse Excursion

This metric represents the average run-down of trades in an iteration.

 

See the "Percent" formula for Maximum Adverse Excursion on the Statistics Definitions page

Min Avg. Adverse Excursion finds the lowest value from the Maximum Adverse Excursion statistic

tog_minus        Understanding Min Drawdown

Minimum Drawdown

This fitness metric represents the smallest decrease (drawdown) in account size experienced from the highest high seen in each trade, and is used to find the iteration with the lowest drawdown.

 

See the Maximum Drawdown formula on the Statistics Definitions page

Min Drawdown = the smallest single drawdown