Advanced Metrics and Optimizing
In this week's episode of Line Your Own Pockets, we continue our discussion of metrics for optimizing strategies.
What you choose to optimize when you're creating a strategy can make a big difference in your results.
The obvious choice is Total Profit, but the optimal path that comes with that could be jagged and painful.
Here are some of the topics we touched on:
- Optimize for your confidence, not just maximum profit
- Try creating two different versions of a strategy, each optimized toward different outcomes
- The path a trade takes matters - not just its final P&L
- Smooth equity curves are easier to scale - here's why
- Don't solve hypothetical problems too early
And much more...
SHOW NOTES:
Previous episode: https://lineyourownpockets.com/episodes/what-metrics-should-you-optimize-for
Efficiency function Dave mentions:
SHOW NOTES:
Previous episode: https://lineyourownpockets.com/episodes/what-metrics-should-you-optimize-for
Efficiency function Dave mentions:
Loss from mfe = mfe - profit Gain from Mae = profit - mae Inefficiency = (loss from mfe + gain from mae) Efficiency = -inefficiency And then a new objective function could be: Profit / inefficiency
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Before you go!
The next time you find yourself in a drawdown, I want you to stop what you're doing and head on over to betterbacktesting.com to sign up for my free backtesting email course.
I hope to see you there!
Before you go!
The next time you find yourself in a drawdown, I want you to stop what you're doing and head on over to betterbacktesting.com to sign up for my free backtesting email course.
I hope to see you there!
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