Rating optimization results.... looking for something

NetTecture

Well-known member
403 12
Hello,

this is not meant to be "the end of all". I use a ltlot of optimizations as start for more in depth understanding of automated strategies. Thank heaven the platform is my own so - I can extend it.

Right now - when looking at the results of a run, I get a table of results ordered by profit and profit factor as alternative. I do not like both - so, I wonder....
...is there another generally accepted indicator for the quality of a strategy over a given timeframe? The problem with profit factor is that it does not account for runup / drawdown and stability so it turns quite a lot of work to judge initial stable positions.

Anyone knows of anything?
 
M

member275544

0 0
Hello,

this is not meant to be "the end of all". I use a ltlot of optimizations as start for more in depth understanding of automated strategies. Thank heaven the platform is my own so - I can extend it.

Right now - when looking at the results of a run, I get a table of results ordered by profit and profit factor as alternative. I do not like both - so, I wonder....
...is there another generally accepted indicator for the quality of a strategy over a given timeframe? The problem with profit factor is that it does not account for runup / drawdown and stability so it turns quite a lot of work to judge initial stable positions.

Anyone knows of anything?

There are loads:

win ratio is one
and after that, the number of winning trades generating a return of more than 1:1 R:R
Max Drawdown is another
Highest winning vs highest losing
consecutive losing trades

to name a few
 

JimTru

Junior member
32 0
I like to use the number of trades per year if I am hoping to use money management to build the account. A strategy could have a poorer profit %, poorer drawdown, poorer Sharpe ratio, but if using superior money management, and a better number of trades per year, the strategy gets you out of bad trades sooner, and into good trades where your money management helps boost overall profit after those inevitable winning streaks.
 
 
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