When optimizing strategies, I generally look at the "Periodic Returns" tab and try to find strategies that are green for the highest percentage of "Weekly" analysis periods (even if this means the total net profit is reduced). Does anyone know of a good Metric that can be used for Optimization to produce that sort of result?
I've been experimenting with a lot of different options, and even tried creating some of my own, but haven't yet found a metric that best results in this type of risk avoidance. My guess is that one already exists (perhaps in an extension pack), I just don't know what it would be called.
I've been experimenting with a lot of different options, and even tried creating some of my own, but haven't yet found a metric that best results in this type of risk avoidance. My guess is that one already exists (perhaps in an extension pack), I just don't know what it would be called.
Rename
In case it's helpful to anyone else in the future, I've found "UlcerPerformanceIndex" to be the best Metric so far in achieving these type of consistent, risk-averse strategies.
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