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How to filter strategies with annual returns > $100 or lowest monthly Std Dev?

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mx55333

Customer, bbp_participant, community, 84 replies.

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6 years ago #113091

1. How can I filter strategies from strategies window to locate only those strategies that make at least $100 for every year in IS and OOS periods?

 

2. In “Improve Strategies” tab: How can I dismiss strategies that have worst Standard Deviation of Annual and monthly returns than the original strategy?

 

3. Is the include Sharpe / Standard Dev for all trades or for monthly returns or for annual returns?

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Mark Fric

Administrator, sq-ultimate, 3 replies.

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6 years ago #128291

1. and 2. are not available right now, you cannot compute customizable values like this.

It will be possible in new version 4 that will have possibility to compute your own stats and use them to filter strategies.

 

3. it is monthly sharpe ratio and stdev

Mark
StrategyQuant architect

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