Filtering Robustness Tests
5 replies
afhampton
6 years ago #117879
I’m working through filtering my strategies and am wondering if, during the retest with Robustness analysis enabled, is there a way to filter the result set based on the following:
Confidence level >=95%
Ret/DD >= 2.0
R Exp > 0
So far, from what I can tell, I have to go back through each strategy manually to look at the Robustness analysis to make those decisions.
Any thoughts?
Thanks,
Aaron
Karish
6 years ago #145081
Edit your Database settings and check the RT filters that you can add to your database as the filter columns,
the Confidence level is by default 95% but if you change the default Confidence level to other % then the columns of RT will show you the calculated values of your selected Confidence level.
afhampton
6 years ago #145085
Thanks Karish. I am not sure I am understanding you correctly. I see that the RT filters can be set during the Build Strategies stage but I don’t see where they can be set during the Retest Strategies stage.
Are you saying that I should enable RT during the initial build of the strategies and filter them out as they are generated?
If that is the case, then will the filters I set for RT be applied against the values calculated at the 95% confidence threshold? For example, in the image below, I would like to filter out any strategies that are less than 2.0 Ret/DD at the 95% confidence level. I don’t care what the “Original” Ret/DD was.
Karish
6 years ago #145094
?….
just press the Manage view at the upper right side of the databank window area, you will get the idea on how to continue from there
afhampton
6 years ago #145103
Just to follow up with you Karish … Manage View only allows the user to build new views and to add to/take away from the default.
I figured it out though. There isn’t a automatic way to have the retest dismiss strategies like there is on the Build Strategies.
So to work around this, the best option I found is to use add the desired RT metric as a column to a custom view (using Manage View as you mentioned), and once the strategies go through the retest, sort on each column individually and remove strategies manually one at a time. That’s the best I have found so far.
If anyone knows of another way, feel free to share it.
Karish
6 years ago #145119
@afhampton +1,
My work flow is to add the RT columns and then just sort them by those columns for example RET/DD,
then just delete all which fail to pass my desired criteria,
lets say select all which below RET/DD 2.0 and hit delete,
this will delete all the strategies which failed to pass RET/DD below 2.0 via 95% confidence level.
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