after running an optimizer, when I get back some results, I can usually see a cummulation P&L graph. is there any way to access it during an optimization to build a custom optimization function ?
for example, suppose I want to write a custom optimization fitness function some like this structure below, where I want to use the data from the Cummulative P&L chart
public class MyOwnFunction : OptimizationType
{
}
For example, hypothetically say, I want to rank results based on the stability of their sharpe ratio :
calculate say this way - first get a time-series of a rolling 30 day sharpe ratio, and then use the metric/objective function of the optimization as the mean of rolling 30 day sharpe ratio divided by the standard deviation of rolling 30 day sharpe ratio.
for example, suppose I want to write a custom optimization fitness function some like this structure below, where I want to use the data from the Cummulative P&L chart
public class MyOwnFunction : OptimizationType
{
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
foreach (xxx t in systemPerformance.yyy)
{
... // do something
}
}
}
For example, hypothetically say, I want to rank results based on the stability of their sharpe ratio :
calculate say this way - first get a time-series of a rolling 30 day sharpe ratio, and then use the metric/objective function of the optimization as the mean of rolling 30 day sharpe ratio divided by the standard deviation of rolling 30 day sharpe ratio.
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