Optimization: how to change target metric
Irving Birger last edited by
Hi all! First of all, let me voice my appreciation for the Backtrader, I really enjoy working with it and it has the most impressive collection of tools I've seen so far. I'm particularly happy to test with multiple data feeds.
When it comes to optimizing, I understand that it opts for the greatest profit expressed by money units. It makes sense as nobody wants to lose money. However, I think the main goal of trading systems is rather about HOW it is done, i.e., how consistent, how volatile, how correlated to other things, etc.
Hence, my question is: how to target a different optimization metric than profits, e.g. drawdown or information ratio (AROR / annualized risk)?