My optimization metrics

I have decided to document what metrics and process I use to determine a “good” strategy. Final Balance:       The amount of money left after the testing PT/LT Ratio:          The number of Profit trades over the number of Loss trades. Exp Profit:             The Total Profit divided by the number of Profit trades. Exp Loss:               The […]

Strategy Performance Metrics

Since I had a lot of computational time over the night, I setup the optimizer to optimize my strategy exhaustively over the longest period of historical data that I could (01/01/2010 – 01/06/2013) in hope that I could find some way to create an algorithm that would perform well in the loss period identified above […]