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User Defined Ranking Criteria

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AC1962

Customer, bbp_participant, community, 89 replies.

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5 years ago #114847

I am new to StrategyQuant and am wondering if it is possible to user define simple alternative ranking criteria in SQ, such as a ratio calculated from existing predefined conditions?

 

In particular I wish to filter generated strategies based on the ratio: ‘Degrees of Freedom / Number of Trades’, to limit Complexity relative to Number of Trades, Similar to the >90% criteria recommended by Robert Pardo in ‘The Evaluation and Optimization of Trading Strategies’.

 

Thanks

AC1962

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tomas262

Administrator, sq-ultimate, 684 replies.

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5 years ago #135819

Custom ratios could be added in future versions. Now you could try to set strategy selection criteria (ranking options) to include minimize/maximize degrees of freedom and number of trades and set to dismiss strategies that would not fit you

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AC1962

Customer, bbp_participant, community, 89 replies.

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5 years ago #135894

Hi Tomas

 

Thanks for your response, much appreciated.

 

AC1962

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