User Defined Ranking Criteria
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’.
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
Thanks for your response, much appreciated.
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