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Filtering Robustness Tests

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afhampton

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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

 

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Karish

Customer, bbp_participant, community, sq-ultimate, 444 replies.

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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.

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afhampton

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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.

 

 

https://gyazo.com/8e96ca81bdcb0dc8b2b755fd7760af68

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Karish

Customer, bbp_participant, community, sq-ultimate, 444 replies.

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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 

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afhampton

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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. 

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Karish

Customer, bbp_participant, community, sq-ultimate, 444 replies.

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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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