9.1) The Importance of Choosing Robust Performance Metrics / Criteria in Trading Optimizations

preview_player
Показать описание
Choosing suitable performance metrics/criteria for effective selection of algorithmic trading parameters is essential for backtesting and trading optimizations.

Brought to you by Darwinex: UK FCA Regulated Broker, Asset Manager & Trader Exchange where Traders can legally attract Investor Capital and charge Performance Fees:

Because the choice of performance criteria will impact which parameters you choose to trade with, getting this right is almost as important as the rules of your trading system itself.

This video covers the two major characteristics that are needed in your performance metric: mechanisms to measure both upside ‘reward’ and downside ‘risk’.

It also covers the importance of matching your position sizing methodology to your chosen performance metric. Get this wrong and your results will be misleading.

In this and the next episode we will cover the following metrics:

1. Profit Factor (Standard)
2. Normalized Profit Factor (Modified)
3. CAGR / Max Drawdown
4. CAGR / Mean Drawdown
5. r (Coefficient of Correlation)
6. R-Squared (Coefficient of Determination)

-----------------------
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:

** Fancy joining a vibrant community of algorithmic traders, quants and data scientists focused on financial hacking? Join the Darwinex Collective Slack Workspace:

#AlgorithmicTrading, #PerformanceMetrics, #Optimization, #ParameterSelection, #PerformanceCriteria, #Backtest, #Reward, #Risk, #PositionSize, #ProfitFactor, #CAGR, #MaxDrawdown, #MeanDrawdown, #AverageDrawdown, #r, #CoefficientOfCorrelation, #R-Squared, #CoefficientOfDetermination, #AlgoTrading, #Darwinex, #FX, #Forex, #Trading
Рекомендации по теме
Комментарии
Автор

Mr Tinsley please consider writing a book. This knowledge is worth more than Gold.

nigelmdletsshe
Автор

I was thinking with myself, why doesn't people use the median instead of the mean for eliminating outliers purposes?

xLeonardo