</> Codebase - Databank / Filter

Average of all Additional Markets : Drawdown, AnnualPctReturnDDRatio, NetProfit, NumberOfTrades, ProfitFactor, ReturnDDRatio, RExpectancy, SortinoRatio, UlcerIndex, WinningPct, SharpeRatio

Average of all Additional Markets with the main results : Drawdown, AnnualPctReturnDDRatio, NetProfit, NumberOfTrades, ProfitFactor, ReturnDDRatio, RExpectancy, SortinoRatio, UlcerIndex, WinningPct, SharpeRatio

it is important to define the number of samples (trade) necessary for a correct reliability of the performances and related metrics.

Robustness Idx Avg The Robustness Index is displayed in the Strategy Optimization Report and measures the gradient of the equity curve on the out-of-sample data relative to the gradient of the equity curve on the in-sample data. For example, a Robustness Index of > 100% means the strategy performed better on out-of-sample data than on in-sample data. A Robustness Index of 50% means that the gradient of the out-of-sample equity curve was 50% of the gradient of the in-sample equity curve; given equal time periods, the out-of-sample performance (on unseen data) was only half as good as during the in-sample (seen data). A Robustness Idx Avg of less than 50 suggests that the strategy being optimized is having difficulty to perform profitable on unseen data thus caution should be exercised before implementing the strategy in real-time The formula for Robustness Index is: Gradient of out-of-sample equity curve / Gradient of in-sample equity curve x 100%. http://help.tradestation.com/09_01/tradestationhelp/optimize/robustness_idx_avg.htm

The RINA Index rewards strategies that spend less time in the market, decreasing the inherent market risk.

Snippets designed for better evaluation of WFO process. Idea behind this you can find in this series: Algorithmic Backtesting & Optimization for Alphas     I will add blog post

The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative portfolio returns—downside deviation—instead of the total standard deviation of portfolio returns. The Sortino ratio takes an asset or portfolio's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino. Source: https://www.investopedia.com/ CREDIT: Acerbi

We have a snippet called "Biggest MAE". It is very useful to see how a strategy with a single order behave. However, when you open multiple orders at once, you have to calculate the total MAE of all the open positions

Hours/Number of trades

Ratio of CAGR in % and average DD in %