I followed Fred's
advice and installed the Intelligent Optimizer, but after playing around with it
for the evening, I don't really know what it's doing. I understand the Particle
Swarm and Differential Optimization techniques, but I don't understand the
results it's coming up with in terms of "Fitness."
For example, I
backtested a very simple system using the IO and the default Fitness setting of
CAR / MDD. The IO produced a system which gave the backtest report available
here: http://www.edcottrell.com/iobacktest.htm
IO says this has a
Fitness of 0.002, which I don't understand, at all. By my calculation, Fitness =
CAR / MDD = 3.21 / 7.48 = .429, which is what the AB backtest report
shows.
So, this is my
question: what is the Fitness number IO is reporting here, because it's
clearly not just CAR / MDD?
Any help is greatly
appreciated!
-Ed