9.3) Using 'Return / Max Drawdown' and Normalized Profit Factor Performance Criteria | Backtesting
The standard implementation of Profit Factor in algorithmic trading introduces a major bias. An alternative normalized version, and also CAGR / Max Drawdown are proposed as alternatives.
Brought to you by Darwinex: UK FCA Regulated Broker, Asset Manager & Trader Exchange where Traders can legally attract Investor Capital and charge Performance Fees:
https://www.darwinex.com/?utm_source=youtube&utm_medium=video-description-above-fold&utm_content=mt-bt-opt-perf-metrics-9-3
By normalizing the profits and losses before calculating the Profit Factor, it removes the position sizing bias, and allows a much more robust selection of trading parameters.
Likewise, the CAGR (Compound Annual Growth Rate) ratio to MDD (Maximum Drawdown) is also proposed as an alternative.
For viewing the whole 'Backtesting and Optimization' series in one place, visit https://www.youtube.com/playlist?list=PLv-cA-4O3y95J6xmwSaCILL4FlGJZO0PJ
-----------------------
IMPORTANT REQUEST: Please please please.. if you find this content useful, please do consider liking and sharing it on YouTube, Twitter, Facebook, LinkedIn and whatever other social networks you have circles in.
Darwinex relies almost exclusively on organic growth, primarily through recommendation via informative content.
YouTube’s algorithms measure the quality of Darwinex content on the basis of:
- Reach
- Engagement
- and several other related variables
With seemingly small actions such as:
- Clicking the Like button
- Clicking the Subscribe button
- Clicking the Share button (on YouTube) and distributing our content
- etc
… YOU inform YouTube’s algorithms of your sentiment towards Darwinex, thereby directly helping Darwinex MASSIVELY in achieving organic growth.
Thank you very much for your kind consideration!
-----------------------
Risk disclosure:
https://www.darwinex.com/legal/risk-disclaimer
** Fancy joining a vibrant community of algorithmic traders, quants and data scientists focused on financial hacking? Join the Darwinex Collective Slack Workspace:
https://join.slack.com/t/darwinex-collective/shared_invite/enQtNjg4MjA0ODUzODkyLWFiZWZlMDZjNGVmOGE2ZDBiZGI4ZWUxNjM5YTU0MjZkMTQ2NGZjNGIyN2QxZDY4NjUyZmVlNmU3N2E2NGE1Mjk
#CAGR, #MaxDrawdown, #PerformanceMetric, #NormalizedProfitFactor, #PerformanceCriteria, #TradingOptimization, #ProfitFactor, #CompoundAnnualGrowthRate, #Backtest, #PositionSize, #AlgoTrading, #AlgorithmicTrading, #Forex, #Trading
Видео 9.3) Using 'Return / Max Drawdown' and Normalized Profit Factor Performance Criteria | Backtesting канала Darwinex
Brought to you by Darwinex: UK FCA Regulated Broker, Asset Manager & Trader Exchange where Traders can legally attract Investor Capital and charge Performance Fees:
https://www.darwinex.com/?utm_source=youtube&utm_medium=video-description-above-fold&utm_content=mt-bt-opt-perf-metrics-9-3
By normalizing the profits and losses before calculating the Profit Factor, it removes the position sizing bias, and allows a much more robust selection of trading parameters.
Likewise, the CAGR (Compound Annual Growth Rate) ratio to MDD (Maximum Drawdown) is also proposed as an alternative.
For viewing the whole 'Backtesting and Optimization' series in one place, visit https://www.youtube.com/playlist?list=PLv-cA-4O3y95J6xmwSaCILL4FlGJZO0PJ
-----------------------
IMPORTANT REQUEST: Please please please.. if you find this content useful, please do consider liking and sharing it on YouTube, Twitter, Facebook, LinkedIn and whatever other social networks you have circles in.
Darwinex relies almost exclusively on organic growth, primarily through recommendation via informative content.
YouTube’s algorithms measure the quality of Darwinex content on the basis of:
- Reach
- Engagement
- and several other related variables
With seemingly small actions such as:
- Clicking the Like button
- Clicking the Subscribe button
- Clicking the Share button (on YouTube) and distributing our content
- etc
… YOU inform YouTube’s algorithms of your sentiment towards Darwinex, thereby directly helping Darwinex MASSIVELY in achieving organic growth.
Thank you very much for your kind consideration!
-----------------------
Risk disclosure:
https://www.darwinex.com/legal/risk-disclaimer
** Fancy joining a vibrant community of algorithmic traders, quants and data scientists focused on financial hacking? Join the Darwinex Collective Slack Workspace:
https://join.slack.com/t/darwinex-collective/shared_invite/enQtNjg4MjA0ODUzODkyLWFiZWZlMDZjNGVmOGE2ZDBiZGI4ZWUxNjM5YTU0MjZkMTQ2NGZjNGIyN2QxZDY4NjUyZmVlNmU3N2E2NGE1Mjk
#CAGR, #MaxDrawdown, #PerformanceMetric, #NormalizedProfitFactor, #PerformanceCriteria, #TradingOptimization, #ProfitFactor, #CompoundAnnualGrowthRate, #Backtest, #PositionSize, #AlgoTrading, #AlgorithmicTrading, #Forex, #Trading
Видео 9.3) Using 'Return / Max Drawdown' and Normalized Profit Factor Performance Criteria | Backtesting канала Darwinex
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