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Ultimately, a high CAR will give the best results overall - but when
constructiong trade systems using many symbols/stocks - RAR is also
very valuable. However, picking optimization values around an
extremely high RAR might lead to curve fitting (this situation will
never come around again, as this RAR might be based on a very low
number of trades). So what result metrics are in your view the best
to pick optimization values on in this situation. Some suggestions:
- RAR
- Avg Profit/Loss%
- Recovery Factor
- Profit Factor
- Payoff Ratio
Or one could calculate a meassurement like:
- RAR * CAR
But would be interested if somebody else has grabbled with this -
and come to some conclusions...
Best regards
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