Rank and Select Strategies by Strategy Metric

This custom analysis sorts and selects x strategies according to the Strategy Metric.

To use it, you need to unpack commons-math3-3.6.1 from the jar file and import it into the strategyquant/user/libs folder.

The snippet is easily modifiable and can be rewritten to rank strategies by IS/OS, Direction, and Sample Types:

String stratMetric = “MAFEProfitFactor”; int numStrats = 10; 

for(ResultsGroup strategyRG : databankRG) { /// Single or Portfolio? 

Result mainResult = strategyRG.subResult( strategyRG.getMainResultKey() );  //single results 

//Result mainResult = strategyRG.portfolio(); // portfolio result

16/03/2023 -> Code is updated for ranking by fitness and Monte Carlo Ratios.