Average of all Additional Markets with the main results : Drawdown, AnnualPctReturnDDRatio, NetProfit, NumberOfTrades, ProfitFactor, ReturnDDRatio, RExpectancy, SortinoRatio, UlcerIndex, WinningPct, SharpeRatio
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%.
Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.
Hypothetical Performance Disclosure:
Hypothetical performance results have many inherent limitations, some of which are described below. no representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.
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