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Forums>StrategyQuant>Application Support>Filter WFM in Custom Project

  • #262600 |
    Customer
    2 Posts

    I am trying to add a “filter strategies” task to a custom project.  I’d like the automated filter to select only strategies that pass the WFM test (not WF test), however when adding a new condition in the filter parameter drop down, I do not find a condition to select the overall WFM robustness.

    In the WF Special section of the list, I only find parameters specific to a single WF optimization (or run). For example, I can find “Max Drawdown in one run”. But I want to filter only strategies that pass the 3×3 matrix where at least 7 results have robustness score >= 80%. How can I accomplish this in an automated way please?

    Thanks

    #266540
    tomas262
    Administrator
    1823 Posts

    Hi,

    you can simply add a “retest” block and enable WFM cross-check test. Set the filtering criteria and robustness score threshold similar to what’s shown on the screenshot attached

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    #266664
    Customer
    2 Posts

    Great, thank you!

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