Fitness function for Genetic Algorithm

Trading Systems Expert Advisors and Automated Trading
1

Hi all,

I’m revising the fitness function of my genetic algorithm implementation and so far I’ve only had the profit to be the only criteria. That means the fittest lifeform/strategy is the one with the highest pip count.

Clearly this needs improvement. So for now I have:

  • profit, in relation to the maximum profit of all lifeforms in the population

  • maximum number of consecutive loosing positions, in relation to the maximum number of consecutive loosing positions of all lifeforms in the population

  • maximum loss of consecutive loosing positions, in relation to the lifeform’s profit

I would like to hear your opinion on that. What’s your definition of a successful automated strategy?

2

A possibility is something like minimizing variance of trade results, but that’s only really going to be helpful if you’re system aims for consistently similar type of trades as opposed to one that looks for big winners.