I am thinking of adding another strategy performance metric to optimizer, to complement Net Profit, Max DD, Profit Factor, Kelly, and PI. The new metric name would be "robustness", or its opposite, "sensitivity". There is already a way to determine how sensitive the strategy performance is with respect to changes in parameters, which is the optimization maps, but when the number of parameters exceeds 2, it becomes somewhat difficult to visualize it. The "robustness" metric would be a single number which would measure the volatility of performance results when the optimal strategy parameters change by a certain small amount, say 10%.
For example, consider these two strategies: Strategy A has 3 parameters, 10-100-50. Its best factor is 3.0. When its parameters change by 10% (such as 9-90-45), profit factor becomes as low as 1.0 Strategy B has 3 parameters, 200-10-10. Its profit factor is 3.0. When its parameters change by 10% (such as 180-9-11), profit factor becomes as low as 2.5 Clearly, strategy B is superior to strategy A because it is much less sensitive to small changes in parameters. To put it in another way, strategy B is more robust than strategy A. To calculate the "robustness" metric, we need a piece of code to iterate through the brute force optimization results, and to compute some sort of performance volatility measure. It could be standard deviation of performance near a given set of parameters, or it could simply be the "worst" performance near a given set of parameters. Once calculated, the robustness metric would be shown as a column in the optimization results table. At the moment, I am working on various other enhancements to JBT, so I am looking for someone else to implement the robustness/sensitivity metric. If you would like to code it, please respond in this thread. --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
