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Hello,
Apologies as I've asked a similar question before;
It is suggested that if a system is more robust (less curve fitted),
its' performance shouldn't be affected too much by the addition of
noise.
I have coded Howard's "monte-carlo" code into the code of a trading
system and optimised the noise. I've ranked the results by the
increasing addition of noise and the following happens;
The net return % decreases as noise is added
The RAR increases as noise is added (basically less trades are taken,
but the quality of them increases) as noise is added
My custom metric (a factor of Kelly, RAR, CAR/MDD an Net% profit)
increases with increased noise.
My question - what performance stat should I be comparing to the
noise, and is it realistic that my system's performance should
IMPROVE with the addition of noise, by these measures?
All contributions welcome.
Cheers,
Rich
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