Not logged in
Viewing 3 posts - 1 through 3 (of 3 total)

Forums>StrategyQuant>General Discussion>fitness compute with OOS

  • #269109 |
    Participant
    32 Posts

    hi, i noticed my fitness is compute on the global calmar ratio and not on my IS calmar ratio. So during generation out of sample seems absolutely useless ?!!

    it’s definitively not a real out of sample.

    PS : for this test I’ve use only calmar ratio to compute my fitness

     

    is this normal for you ?

    Attachments:
    You must be logged in to view attached files.
    #269289
    tomas262
    Administrator
    1826 Posts

    Hello,

    thanks, we will be testing this as I see the results are not positively correlated now. Note: only the IS period data is related to the fitness value.

    #269305
    tomas262
    Administrator
    1826 Posts

    The fitness function is not only affected by the Calmar Ratio value but also by the number of trades. If the number of trades is low (around 100) the fitness value is affected accordingly to reflect this. If the number of trades is significant enough then the fitness function is strictly determined by the Calmar Ratio value. Check the screenshot

    Attachments:
    You must be logged in to view attached files.
Viewing 3 posts - 1 through 3 (of 3 total)

You must be logged in to reply to this topic.