April 8, 2022

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Robusteness Index – Tradestation

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%.

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April 8, 2022 8:58 am

Is there any snippets ?

Reply to  C C
April 9, 2022 9:37 am

thank you