User Defined Ranking Criteria
2 replies
AC1962
8 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
tomas262
8 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
AC1962
8 years ago #135894
Viewing 2 replies - 1 through 2 (of 2 total)