A single quality indicator for the strategy
Big scientist.
I don't use it at all, because I don't need it. And, by the way, I don't understand your enthusiasm for these indicators.
Big scientist.
I don't use it at all, because I don't need it. And, by the way, I don't understand your enthusiasm for these indicators.
Automate the evaluation of the strategy.
Also to automate this. What's the point?
Like Voznesensky. :)
There is a suggestion:
drawdown - 3 to 5% in the testing period - 10 points
drawdown from 6 to 15 % - 6 points
drawdown from 16 and above - 4 points
And so on all parameters to derive a point system.
And then summarize, who has more points-a better system.
Evaluate the drawdown, profitability, and so on.
So on. What ranges of drawdowns and profitability and other parameters to take and what points to award them - that is the question)
It is advisable to use smooth functions, otherwise, it turns out that 3% drawdown and 5% drawdown are the same thing.
And the number of trades? Three profitable trades on the history does not say that the strategy is good, although the drawdown will be zero.
"But there is no evidence that a comprehensive indicator is better than a few standard ones." - the only question is the approach, if such a method of evaluation is not suitable, it automatically means that the standard methods are not suitable either.
"Feature selection is highly subjective." - The level of subjectivity is no higher than the standard approach, the model is treated as a "black box" here too.
The significance and impact of the main features of the strategy on the overall indicator can also depend on other features of the strategy, and this is the standard approach.

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I propose to come up with/develop a single coefficient showing the quality of the strategy, which will take into account its many characteristics (profit, drawdown, number of trades,...). In MT5 it is possible to use this.
This kind of task can be solved graphically:
Profit and drawdown are indicated in stop loss. The three values used in the functions shown in the graph do not contain such important information about the strategy as "growth stability", in part only the drawdown.
The result of these functions can simply be multiplied, resulting in a single number, which can be used to judge the overall quality of the strategy.