Hello, I'm new to zorro and I have read the following in the manual, but I can't find an example how to do this:
"... other performance values can be used for optimizing parameters, for instance the profit/drawdown ratio, or the gross profit, or the Sharpe ratio. The objective function can access all trade statistics for determining the performance value."
1) First I would like to replace the objective function in the file default.c optimzing for PRR with my own function/optimization criteria for optimizing. Therefore I need in this function the values of:
R2 coefficient
Max. drawdown
Number of Bars
Total Profit
How can I access the values of these variables in the objective function?
2) How kann I optimize in ascending order (the smaller the better) ?
