Hello,
Exactly, only built-in names appear in the drop list, USER-defined metrics have
to be typed-in.
Best regards,
Tomasz Janeczko
amibroker.com
On 2010-08-09 08:16, Mike wrote:
> The drop list from which to choose the metric for optimization is an editable
> field. Just type in the name (case sensitive) of your metric instead of
> choosing from the default list of metrics.
>
> Mike
>
> --- In amibroker@yahoogroups.com, "Matthias"<meridian...@...> wrote:
>>
>>
>> Hi,
>>
>> I tried this one out, but when performing Walk-Forward Analysis, I cannot
>> choose my custom metric as objective function. Effectively, I'd like to
>> MINIMIZE Ulcer-Index when performing WFA. Portfolio: "enable CBT" is ticked,
>> path is specified. Metric appears in the report, and the column is added,
>> but cannot be chosen from "Walk-Forward" "Optimization Target".
>>
>>
>> SetCustomBacktestProc("");
>>
>> if( Status("action") == actionPortfolio )
>> {
>> bo = GetBacktesterObject();
>>
>> bo.Backtest(); // run default backtest procedure
>>
>> st = bo.GetPerformanceStats(0); // get stats for all trades
>>
>> Ulcer = -1*st.GetValue("UlcerIndex");
>>
>>
>> bo.AddCustomMetric( "Ulcer-Index-II",Ulcer );
>> }
>>
>>
>> Also checked the links where it states:
>>
>> "The "Optimization target" field defines the optimization raport COLUMN NAME
>> that
>> will be used for sorting results and finding the BEST one. Any built-in
>> column can be used
>> (as appears in the optimization output), or you can use any custom metric
>> that you define
>> in custom backtester. The default is CAR/MDD, you can however select any
>> other built-in metric from the combo.
>> You can also TYPE-IN any custom metric that you have added via custom
>> backtester interface."
>>
>>
>> Any suggestions?
>>
>>
>> Matthias
>>
>>
>>
>>
>>
>>
>> --- In amibroker@yahoogroups.com, "Mike"<sfclimbers@> wrote:
>>> Add your own custom metric to be used as the optimization target. Simply
>>> calculate your metric as the negative of your intended metric. The result
>>> will be that originally large values become smaller (i.e. more negative)
>>> and originally small values become larger (i.e. less negative).
>>>
>>> Refer to custom metrics for more detail:
>>> http://www.amibroker.com/guide/a_custommetrics.html
>>>
>>> Set custom target on WFA settings (applies to regular optimization too, not
>>> just walk forward):
>>> http://www.amibroker.com/kb/2008/02/12/getting-started-with-automatic-walk-forward-optimization/
>>>
>>> Mike
>>>
>>> --- In amibroker@yahoogroups.com, "elizabeth19852002"<elizabeth.kennedy@>
>>> wrote:
>>>> Hello all,
>>>>
>>>> I would appreciate if someone can please tell me how to configure
>>>> optimizations like CAME so that it looks for a MINIMUM (as opposed to a
>>>> Maximum) of an optimization target (such as user defined objective
>>>> function).
>>>>
>>>> Just by adding OptimizerSetEngine("cmae"); in AFL and setting the
>>>> Optimization target in the "Walkforward" tab does not tell it to look for
>>>> a MINIMUM or MAXIMUM of the optimization target during optimization ???
>>>>
>>>> Thanking you
>>>>
>>>> Liz
>>>>
>
>
>
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