[amibroker] Optimization for lowest correlation

["mkecera" <mkecera@xxxxxxxxx>]

Hello, I am trying to optimize a system for the lowest correlation to EC of another system but have difficulties with the custom metric. Below is the code I have so far. Is someone able to modify it to achieve some results?

Thank you.

SetCustomBacktestProc(""); 

if( Status("action") == actionPortfolio ) 
{ 

bo = GetBacktesterObject(); 
bo.Backtest(); 
st = bo.GetPerformanceStats(0); 
	
ReferenceSystemEQ=Foreign("simple45","C");
ReferenceSystemEQNorm=ReferenceSystemEQ-Ref(ReferenceSystemEQ,-1);
CurrentEquity=bo.Equity();
CurrentEquityNorm=CurrentEquity-Ref(CurrentEquity,-1);
R=Correlation(ReferenceSystemEQNorm,CurrentEquityNorm,BarCount);

bo.AddCustomMetric( "R", R); 
}



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