Calculating shape of equity curve for optimizer fitness?
Posted: Oct 26 2012
Can anyone suggest a metric that can be used in the MultiCharts optimizer that would indicate whether the equity curve for a particular system is "the smoothest"?
I imagine that if you could somehow calculate the "best fit" line for a positive equity curve and then calculate to what extent individual trades deviate from that line, that would work.
I know how to do that in EasyLanguage (using the ELCollection.dll) but can we do a similar calculation in the optimizer?
Any thoughts?
I imagine that if you could somehow calculate the "best fit" line for a positive equity curve and then calculate to what extent individual trades deviate from that line, that would work.
I know how to do that in EasyLanguage (using the ELCollection.dll) but can we do a similar calculation in the optimizer?
Any thoughts?