Howard calls it the objective function. Fred calls it Fitness. What I meant by Fitness Criteria is a mathematical function on which fitness or goodness of the system is judged, and is used as an objective criteria to compare different systems, as a score in optimization.
My currrent question is - So why not incorporate the fitness in walk forward analysis into our fitness criteria? What I am talking about is to formalise the visual inspection process. I am not proposing to use out of sample data for optimization purposes. Rather the parameter set that has been previously optimized is forward tested and a fitness is obtained and incorporated into the original criteria to form a composite fitness. For example. My current composite fitness is the geometric average of In sample fitness and Out of sample fitness divided by the standard deviation (?) of In sample and out of sample fitness. Are there anybody doing something is this area? What are your thoughts? If you are wondering why not use visual inspection. My plan is to use the computer to do most of the work and thats why I need a fitness criteria. Cheers Paul.
