In this post we will discuss the role of fitness functions in the NinjaTrader 8 platform and create a custom function to be used in optimizing and backtesting trading strategies.
Solid question. I didn't know that the "max strength" fitness function existed prior to this comment. It seems to attempt a similar calculation. However, looking at the code it seems to try and calculate for "steady profits". I compared a few optimization results with both of them. Obviously, my eyeballed comparisons are anecdotal, but it looks like Max Strength gives similar results as the TradeStation Index. They are just in a different order.
NT says the Max Strength fitness is a "work in progress" and could change. It looks like they weight the values in the code to achieve the results. The use R^2 (R Squared), profit factor, and trade count to make their calculations.
Overall, I would say that they are close. The TradeStation Index seems to put results in an order more associated with the drawdown than the Max Strength fitness function.
Interesting. How does this match up against the "strength" fitness function?
Solid question. I didn't know that the "max strength" fitness function existed prior to this comment. It seems to attempt a similar calculation. However, looking at the code it seems to try and calculate for "steady profits". I compared a few optimization results with both of them. Obviously, my eyeballed comparisons are anecdotal, but it looks like Max Strength gives similar results as the TradeStation Index. They are just in a different order.
NT says the Max Strength fitness is a "work in progress" and could change. It looks like they weight the values in the code to achieve the results. The use R^2 (R Squared), profit factor, and trade count to make their calculations.
Overall, I would say that they are close. The TradeStation Index seems to put results in an order more associated with the drawdown than the Max Strength fitness function.