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

tog_minus        Understanding Max Avg. Favorable Excursion

tog_minus        Understanding Max Avg. Profit

tog_minus        Understanding Max Net Profit

tog_minus        Understanding Max Profit Factor

tog_minus        Understanding Max R Squared (R^2)

tog_minus        Understanding Max Sharpe Ratio

tog_minus        Understanding Max Sortino Ratio

tog_minus        Understanding Max Ulcer Ratio

tog_minus        Understanding Max Win/Loss Ratio

tog_minus        Understanding Minimum Avg. Adverse Excursion

tog_minus        Understanding Min Drawdown

 

tog_minus        Understanding Max Strength