2 Comments
founding

Interesting. How does this match up against the "strength" fitness function?

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author

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.

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