[Suggestion] "Optimal Net Profit and Max Drawdown" option

[triton2030]

Suggestion.

Hello First of all I would like to thank you for your work, I really appreciate it.

1) There is often a problem when profits take off upwards but Max Drawdown becomes above 50%+ (graph 1)

But if I try to minimize Max Drawdown the profit becomes small or the number of trades falls to the minimum. It would be great if there was an option something like "Optimal Net Profit and Max Drawdown" as in diagram 3

2) This is probably something really difficult to implement, but it would be great if it was possible to adjust the relevance of the settings. The settings work for a short time and if the income line has been going up recently, it will be relevant for a while. And if the best times of my settings are already gone and went down (like on chart 1) then it makes no sense to enable these settings because we see that the income trend has already passed. It would be great to take into account the profitability of recent trades and give priority to the trend of the last growth. For example on the chart 2, even in spite of volatility, we see that the settings can still be profitable for some time. ъ

[triton2030]

For Sequential Improvements because with 1e+40 is hard to do random or others.

[martinhh99]

Very good proposal. I have exactly the same issue. Fully support the idea. Again thanks to the very engaged developer.

[Buddingm]

The easiest way is to use filters. Then you can set a max drawdown you want. This is possible with another version and Akumidv said to implent is in the next version but that is releast a few days without filters so it will probbaly be possible soon.

[triton2030]

Ohhhhhhhh I didn't realize you can change Default filter to something else @Buddingm Thank you very much!

[triton2030]

Ah no sorry it's not working the way it should. Filters are not integrated deep enough to work with Annealing mode or Sequential mode.

With Sequential mode if you have 1000 cycles to do and have filter <15% Max drawdown It will literally just filter out results from this 1000 cycles, which easier to do in Excel.

Filters won't work here because there is a possibility that <15% Max drawdown is not possible but finding lowest drawdown would help a lot.

So still we need that ability to move towards two goals to find balanced result

[akumidv]

With Sequential mode if you have 1000 cycles to do and have filter <15% Max drawdown It will literally just filter out results from this 1000 cycles, which easier to do in Excel. Filters in extension do not be reproduced with Excel, the values filtered in extension do not used as best values for annealing or sequential method. So they try to improve the last best values that fit filters.

For random method they are the same.

[akumidv]

It would be great if there was an option something like "Optimal Net Profit and Max Drawdown" as in diagram 3

Thanks for your suggestion. Yeah, this can be implemented by using complex "profit" function to estimate results. For example as sum profit and max drawdown or multiple them with some coefficient. But I'm not sure it would really help in very narrowed search that we can produce by ~1000 cycles in Tradingview. And it would more suit for another optimization method like Gradient descent, so I think if I implement it than you suggestion would useful. For current method I guess it wouldn't improve optimization.