Discussing the article: "A Generic Optimization Formulation (GOF) to Implement Custom Max with Constraints"

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Check out the new article: A Generic Optimization Formulation (GOF) to Implement Custom Max with Constraints.

In this article we will present a way to implement optimization problems with multiple objectives and constraints when selecting "Custom Max" in the Setting tab of the MetaTrader 5 terminal. As an example, the optimization problem could be: Maximize Profit Factor, Net

Profit, and Recovery Factor, such that the Draw Down is less than 10%, the number of consecutive losses is less than 5, and the number of trades per week is more than 5.

In general terms, there are two main types of optimization algorithms. The first type is the more classical, based on the calculation of gradients of all functions involved in the optimization problem (this dates back to Isaac Newton’s times). The second type is more recent (since the ~1970’s) that does not use gradient information at all. In between, there may be algorithms that combine the two approaches mentioned, but we don’t need to address them here. The MetaTrader 5 algorithm called “Fast Genetic based Algorithm”---in the MetaTrader 5 terminal Settings tab---belongs to the second type. This allows us to skip the need for the computation gradients for objective and constraint functions. Even more, thanks to the gradient-less nature of the MetaTrader 5 algorithm, we were able to account for constraints functions that would not had been appropriate with gradient-based algorithms. More on this will be discussed below.

One important point is that the MetaTrader 5 algorithm called “Slow Complete Algorithm” is not actually an optimization algorithm but a brute force, exhaustive evaluation of all possible combinations of values for all the input variables within the side constraints.

Author: better.trader every.day