A single quality indicator for the strategy - page 8
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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.
It was invented long ago - the sortino coefficient by daily increments of Equity graph minimums.
With amendments
1. it must be counted on a statistically significant number of trades
2. Daily is not suitable for active intraday.
With amendments
1. it must be counted on a statistically significant number of trades
2. Daily is not suitable for active intraday.
How many trades minimum do you need to adequately calculate Sortino?
It depends on what is considered adequate. It's all about statistical validity, and the exact value depends a lot on the strategy itself, mainly its volatility of returns.
I asked a similar question in this threadhttps://www.mql5.com/ru/forum/329200
For Sortino it is necessary to estimate separately, I think roughly it can be done by estimating the reliability of the average profitability of the transaction.
It depends on what is considered adequate. It's all about statistical validity, and the exact value depends heavily on the strategy itself, mainly its volatility of returns.
I asked a similar question in this threadhttps://www.mql5.com/ru/forum/329200
For Sortino it is necessary to estimate separately, I think roughly it can be done by estimating the reliability of the average profitability of the transaction.
Well for example I have 40-60 trades in my training and I want to calculate Sortino. Would that be enough?
It is perfectly correct to say that adequacy can be determined in different ways. One standard matstat approach is to findthe confidence interval. Another possible approach is to test the statistical hypothesis that the coefficient is greater than a given value.
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 one number, which can be used to judge the overall quality of the strategy.
There is one indicator of strategy quality - future profit.
And since no one knows the future - so it is impossible to evaluate the quality of the strategy at all. For example, this is why 99.99% of the products on the Market are crap in terms of "future profit".
The only place where you can talk about a quality strategy not in the future is the strategy of institutional speculators with big bucks: so much money for fake news (to unhinge the market), so much money for price appreciation, for example, and so much money for shorts, the profit from which should pay off the costs.