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Sharpe or Sortino ratio is preferred.
Shucks....not available as an optimizable variable ?
Contact a Bill Cruz from Tradestation Technologies and ask when the release
that has a sharpe variable available for optimization will become available.
> -----Original Message-----
> From: Ian Waugh [mailto:ianwaugh@xxxxxxxxxxxxxxxxxxx]
> Sent: Monday, February 19, 2001 2:14 PM
> To: omega-list@xxxxxxxxxx
> Cc: ianwaugh@xxxxxxxxxxxxxxxxxxx
> Subject: System optimisation
>
>
> In TS' Tools>Options dialog there's a setting for Optimization where you
> can optimise a system by most of the criteria you see in the System
> Performance Summary report.
>
> I've just read Thomas Stridsman's book, Trading Systems That Work, and he
> suggests that few of the TS reports are of much use. I was wondering
> what's the best option for optimising a system? Total net profit seems to
> make the most sense but I've tried Avg trade (win+loss), %
> profitable, and
> profit factor among others. They each produce slightly different results.
>
> Is there a generally accepted "best" setting to use? If not, I'd
> appreciate hearing members' views and preferences.
>
> Ian
>
>
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