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The Profit Factor factor

1 replies

9 years ago #112293

Hi all.

Before SQ I was aiming to build EAs with a high profit factor, but since using SQ I can see the value of the Return/Drawdown ration as an indicator of a good EA. I have noticed that there are a lot of strategies found that have a reasonable R/DD but not a great PF. I used to think that it wasn’t really worth running an EA with a PF <2, but that seems hard to achieve using strategies I’ve been testing with SQ.

What impact does PF have in a strategy when we find a high R/DD strategy that is robust? Should we still be aiming for high PF?

David.

9 years ago #125072

Hello,

each formula that transforms strategy results to some score number has its flaws.

I personally consider Return/Drawdown when checking the strategies, and then scores like Annual Percentage Return or R-Expectancy.

I look also at Profit Factor,but not as the deciding score.

Mark
StrategyQuant architect

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