> A factor that people keep expressing for what constitutes a good > strategy is that the strategy should show consistent profits over the > backtest period (i.e. $100/day over 10 days instead of $1000 on one > day and flat the rest). > > In other words, the profit curve should be "smooth" and, ideally, > steep. Unfortunately, there's no easy way to optimize for this in the > current implementation.
PI (Performance Index) metric is a good measure of performance adjusted for volatility. Give it a try. --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [EMAIL PROTECTED] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
