I was wondering if it is possible that strategyquant gives less results with custom weigthed fitness in comparison to “return /dd ratio”? With a custom column i get on average 99.98% rejection and with “return/dd ratio” an average of 99.81% rejection. I have done 10 tests with exact same symbol/settings
The fitness on return/dd ratio reaches >0.9 and with the custom weighted fitness 0.65 is the maximum. Could that be a potential cause? Just guessing here …
if your weighted fitness is very strict, how can you assume that could be higher than 0.65
why do you use some sort of weighted fitness?
RDD is simple value and it may approach infinity – if the strategy is straight line without loss :)
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Q: if your weighted fitness is very strict, how can you assume that could be higher than 0.65
A: Because i cannot adjust the target in the weighted fitness area. Support is currently looking into that.
Q: why do you use some sort of weighted fitness?
A: I’m not sure if i need weigthed fitness based on custom variable helps me, that is what i’m trying to find out. RDD is indeed very simple and my default setting.
@Tomas, i have created a bug for this, see https://roadmap.strategyquant.com/tasks/sq4_5563
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