Hi,
Worked for me! Thanks a lot. Taking my example, I typed "Ulcer-Index-II" and it did the run. I didn't understand why it would not show up in the drop-down menu. Thanks, Matthias From: [email protected] [mailto:[email protected]] On Behalf Of Mike Sent: Montag, 9. August 2010 08:16 To: [email protected] Subject: [amibroker] Re: How to configure CAME to look for a Optimization target MINIMUM The drop list from which to choose the metric for optimization is an editable field. Just type in the name (case sensitive) of your metric instead of choosing from the default list of metrics. Mike --- In [email protected] <mailto:amibroker%40yahoogroups.com> , "Matthias" <meridian...@...> wrote: > > > > Hi, > > I tried this one out, but when performing Walk-Forward Analysis, I cannot choose my custom metric as objective function. Effectively, I'd like to MINIMIZE Ulcer-Index when performing WFA. Portfolio: "enable CBT" is ticked, path is specified. Metric appears in the report, and the column is added, but cannot be chosen from "Walk-Forward" "Optimization Target". > > > SetCustomBacktestProc(""); > > if( Status("action") == actionPortfolio ) > { > bo = GetBacktesterObject(); > > bo.Backtest(); // run default backtest procedure > > st = bo.GetPerformanceStats(0); // get stats for all trades > > Ulcer = -1*st.GetValue("UlcerIndex"); > > > bo.AddCustomMetric( "Ulcer-Index-II",Ulcer ); > } > > > Also checked the links where it states: > > "The "Optimization target" field defines the optimization raport COLUMN NAME that > will be used for sorting results and finding the BEST one. Any built-in column can be used > (as appears in the optimization output), or you can use any custom metric that you define > in custom backtester. The default is CAR/MDD, you can however select any other built-in metric from the combo. > You can also TYPE-IN any custom metric that you have added via custom backtester interface." > > > Any suggestions? > > > Matthias > > > > > > > --- In [email protected] <mailto:amibroker%40yahoogroups.com> , "Mike" <sfclimbers@> wrote: > > > > Add your own custom metric to be used as the optimization target. Simply calculate your metric as the negative of your intended metric. The result will be that originally large values become smaller (i.e. more negative) and originally small values become larger (i.e. less negative). > > > > Refer to custom metrics for more detail: > > http://www.amibroker.com/guide/a_custommetrics.html > > > > Set custom target on WFA settings (applies to regular optimization too, not just walk forward): > > http://www.amibroker.com/kb/2008/02/12/getting-started-with-automatic-walk-f orward-optimization/ > > > > Mike > > > > --- In [email protected] <mailto:amibroker%40yahoogroups.com> , "elizabeth19852002" <elizabeth.kennedy@> wrote: > > > > > > Hello all, > > > > > > I would appreciate if someone can please tell me how to configure optimizations like CAME so that it looks for a MINIMUM (as opposed to a Maximum) of an optimization target (such as user defined objective function). > > > > > > Just by adding OptimizerSetEngine("cmae"); in AFL and setting the Optimization target in the "Walkforward" tab does not tell it to look for a MINIMUM or MAXIMUM of the optimization target during optimization ??? > > > > > > Thanking you > > > > > > Liz > > > > > >
