profit factor, dd,sharp ratio, cagr/dd% and another must be same to xauusdrank filter right?
Yes, when adapting your XAUUSD strategies for AUDUSD, you should use the same ranking and filtering criteria as you did for XAUUSD to maintain consistency in your evaluation process. This ensures that you are comparing strategies on the same performance metrics and selecting only those that meet your standards.
Key Metrics for Consistency:
- Profit Factor: Ensure the strategies maintain a profit factor greater than your minimum threshold (e.g., >1.5). This shows that they are still profitable on AUDUSD.
- Drawdown (DD): Keep your drawdown filter consistent (e.g., maximum drawdown < 20-25%). This helps maintain risk control and ensures the strategies are not exposing too much capital to loss.
- Sharpe Ratio: Use the same Sharpe ratio threshold (e.g., >2) to ensure the risk-adjusted returns are satisfactory for AUDUSD as well.
- CAGR/Max DD%: Maintain your target for CAGR/Max DD% (e.g., >1) to ensure that the strategy’s return is proportionate to the risk taken.
- Other Metrics:
- Stability: Ensure the stability of the equity curve is consistent (e.g., >0.8).
- Open Drawdown %: Keep your limit on open drawdown (e.g., <15%) to avoid high-risk exposure during active trades.
Why Maintain the Same Ranking Filters:
- Consistency Across Pairs: Using the same criteria allows for an apples-to-apples comparison, ensuring that only strategies that meet your rigorous standards on XAUUSD are considered for AUDUSD.
- Robustness Verification: If strategies pass the same filters across different pairs, it indicates that they are robust and more likely to perform well in varying market conditions.
- Confidence in Strategy Selection: Maintaining the same filters helps build confidence that your strategy selection process is solid and proven.
Steps to Implement:
- Apply Your Existing Filters: Use your current filtering criteria for profit factor, drawdown, Sharpe ratio, CAGR/Max DD%, etc., when retesting or optimizing your strategies on AUDUSD.
- Analyze the Results: Compare the filtered strategies’ performance on AUDUSD with their original performance on XAUUSD.
- Select Strategies that Pass Both: Choose strategies that meet your criteria on both pairs for greater robustness and reliability.
By keeping the same evaluation filters, you ensure that your approach to selecting and adapting strategies remains consistent, reliable, and well-aligned with your trading goals.