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AmiBroker optimization target self programed?

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Tollimolli

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Hello,
did anyone know, if it is possible to program a self defined optimization target in the settings?
I optimize with CAR/MDD, but often I get very high values which comes from low CAR to very low MDD. Therefore I like to use the weighted CAR*CAR/MDD for optimization with optimizer engine.
Any help will be appreciated.

Greetings from Germany
Mathias
 
Hi Mathias --

Yes, AmiBroker supports custom objective functions.

You have full access to all of the metrics built in to AmiBroker (such as CAR alone, and CAR/MDD), plus any that you wish to calculate by processing the bar-by-bar or trade-by-trade test results.

There is information in the AmiBroker User's Guide, and detailed examples in my book, "Quantitative Trading Systems."

Thanks,
Howard
 
Hi Howard,
Thanks a lot! I thought, in AB is nearly evererything possible, but I have problems with the user guide to find answers of specific questions. So please help me, where can I find it in the AB Users Guide? Give me a hint, please.

Mathias
 
Tollimolli, in your PDF reader search for "custom backtester". This will lead you to what you want, including "How to add user−defined metrics to backtest/optimization report" on page 898.
 
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