> > > I suppose, with the numbers you are referring to the values achieved on > the training set? > Or do you include test data (data not seen in optimization). > > Yes, I am referring to PI numbers against the training set. How to accomplish the same performance against the out-of-sample data is another conversation. I was just giving guidance on the PI numbers. PI is closely related to Sharpe's ratio and the SQN (System Quality Number): http://www.traderivar.com/2010/03/sqn-trading-system-quality-number.html
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