Build Objectives vs Build Conditions

[John Verbrugge]

Hi Mike,

I'm getting back into using Builder after quite a while away.  Thanks for a great system!

Can you explain (one more time!) the difference between adding a condition to Build Objectives vs Build Conditions?  It looks like they do the same things, so I'm missing the subtle difference between them.

Thank you!

JV

[MikeBryant]

The objectives are the metrics you want to maximize, like net profit, or minimize, like drawdown. The conditions are metrics you want to specify more precisely using inequality conditions, such as “number of trades > 300”. As I’ve suggested in several of my newsletter articles, I’ve found that the best approach is to use the default objectives as-is and add any other metrics as conditions. That means you’ll have a small set of general-purpose objectives – the default objectives are net profit, correlation coefficient, and trade significance – and a probably larger set of inequalities – the conditions – for any other metrics you care about. I would probably adjust my original recommendation slightly by adding “complexity” as an objective with a small weight, but, otherwise, I suggest limiting the objectives to the defaults and adding any other metrics as conditions. A good example is in my most recent newsletter article, http://www.adaptrade.com/Newsletter/NL-RobustOpt.htm.

 Mike Bryant

Adaptrade Software

[John Verbrugge]

Thank you, Mike.  I appreciate the clarification and best practices.  I will set it up as you've suggested. 

By the way, the newsletters are fantastic!  I'm making my way through the whole archive and I have learned something really important in each one.  So, for anyone else reading this, take the time to read the newsletters!

Thanks again!

John