Topic: Filter non-linear balance pattern
Hi,
the usage of the "Filter non-linear balance pattern"-filter is a absolutely must for me since I only want strategies that are stable, especially since I generate on data from 1986 to 2016 and the systems should pass all market phases as stable as possible without cluttering up the strategy collection repository as it is only limited to 100 strategies.
I am, however, not sure if this filter always works correctly. As far as I understand it, if I enter "15" for it in the acceptance criteria page, it means that the equity curve can have a max deviation of 15% from the ideal straight line which connects start and end-balance.
Now have a look at this screenshot. The strategy with the red "?" still made it into the repository, despite of my setting of "15" for this filter, as you can see in the second screenshot. I´ve also drawn green lines (ideal equity curve) into the first 3 strategies. While strategy #2 and #3 seem to be OK and could indeed only deviate 15% from the ideal equity curve, strategy #1 clearly is deviating A LOT more than 15% from the ideal equity curve, do we agree? So is this a bug in the filter possibly?
Thank you:)