Ah yes i added these filters already in all step

   November 25, 2024  Posted in • Diligently
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Table of Contents
  1. Review of Applied Filters:
  2. Next Steps for Final Review:
  3. Summary:

ah yes i added these filters already in all step;

Profit factor (IS) > 1.4

Ret/DD ratio (full) > 4

Stability (is) > 0.6

open dd % (is) < 50%

cagr/max dd % (is) > 0.6

sharp ratio (is) > 1.5

max dd % (OOs) < 70%

 

Great! Including those filters across all steps is essential for narrowing down to the most robust strategies. Here’s how to use these filters effectively in your final review and comparison process:

Review of Applied Filters:

  1. Profit Factor (IS) > 1.4:
    • Ensures that in-sample (IS) strategies generate at least $1.40 in profit for every $1.00 of loss.
    • Review Tip: Verify that this is consistently met across all steps, especially in OOS (out-of-sample) testing.
  2. Ret/DD Ratio (Full) > 4:
    • A high return-to-drawdown ratio indicates strong risk-adjusted returns.
    • Review Tip: Ensure this holds up in OOS testing to confirm that the strategy isn’t just optimized for IS data.
  3. Stability (IS) > 0.6:
    • Indicates a steady equity curve without significant fluctuations.
    • Review Tip: Check if the stability in OOS testing remains above this threshold for long-term performance assurance.
  4. Open DD % (IS) < 50%:
    • Ensures that the strategy’s open drawdown doesn’t exceed 50%, which helps manage risk during active trades.
    • Review Tip: Confirm that OOS open drawdown remains under acceptable levels to avoid capital depletion in live trading.
  5. CAGR/Max DD % (IS) > 0.6:
    • A ratio showing that the compound annual growth rate (CAGR) is sufficiently high relative to the maximum drawdown.
    • Review Tip: Ensure the ratio holds in OOS testing to validate that the strategy’s returns are consistent with the risk taken.
  6. Sharpe Ratio (IS) > 1.5:
    • Confirms that the returns are substantial relative to the risk, indicating a strategy that compensates well for its volatility.
    • Review Tip: Compare this ratio in OOS to ensure that risk-adjusted returns are sustainable.
  7. Max DD % (OOS) < 70%:
    • Ensures that the maximum drawdown during OOS does not exceed 70%, which helps to manage potential large losses during unseen data.
    • Review Tip: Confirm that the maximum drawdown remains under control when exposed to new data sets to avoid potential large drawdowns in live trading.
See also  Profitable ranking/filter.

Next Steps for Final Review:

  1. Cross-Check Consistency:
    • Verify that the filters are met in both IS and OOS testing. Highlight strategies that meet all criteria consistently across different testing steps.
  2. Compare Step Results:
    • For each strategy that passes your filters, compare key metrics across all three steps (Selected TF, 1-minute data tick, Real tick data) to ensure minimal deviations.
  3. Portfolio Diversification:
    • Build a final portfolio using strategies that pass your filters across all steps. Ensure that the portfolio includes a mix of strategy types, timeframes, and trading approaches to mitigate risk.
  4. Forward Test in Demo:
    • Run these selected strategies or portfolios in a demo environment for real-time performance evaluation. This helps validate that they align with their backtested and OOS results.

Summary:

Using these filters across all steps ensures that the strategies you select are robust, consistent, and suitable for live trading. Your criteria already set a high standard for selection, which will help you build a reliable and diversified trading portfolio.

Author: admin