> For instance, changing one parameter by 10 might be "equivelent" to changing
> another parameter by 20. I don't even know how you would quantify the
> "range" except for the cases where you can determine the full range in which
> the parameter applies (i.e. the range in which a certain parameter can be
> that will generate at least N trades).
In the first implementation of the new robustness metric, I would
define the range as simply plus/minus 10% of the parameter value. So,
for a parameter set {10, 100}, the "neighbors" would be in {9..11,
90..110}. I agree with you that this may be too primitive, but we can
improve it later.
> Furthermore, you simply cannot judge performance with a number. Surface
> plots are a must. My main beef with the JBT plots is that you only get to
> see the "best" and "worst" strategies for a range of 2 variables. It would
> be infinitely more valuable to look at a plot of X vs Y while Z=30 and
> Q=40.
>
This should not be very difficult. I'll take a look at that.
> Which brings me to my last point: you really need to cut down the number of
> parameters if you have more than 4. I find 4 to be too much.
I agree.
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