I am starting to look into creating custom criteria for optimization and need a bit of direction.
I have looked at the script files for the available default optimizations to get a feel for how it is to work. The actual script for that element looks to be incredibly straightforward. But, I do not see where it pulls certain calculations from. For example, optimizing for the Sharpe Ratio simply says
return systemPerformance.AllTrades.TradesPerformance.SharpeRatio;
Can you please point me in the right direction of starting to write my own optimization?
Thank you very much for your help!
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