Topic: Custom Output Metrics
We currently have the option to choose 5 backtest output metrics (SQN, RDD, R-Squared etc) and we can additionally sort a collection by another available metric from the list.
This is all well and good when we want to use a single metric but it's rather difficult when we want to combine the metrics together, e.g. I want to see which strategies have the best SQN combined with the next best RDD and then the highest Balance Line Stability.
As we know, there is not one single super metric which is indicative of a winning strategy in LIVE, so combining these together would be very useful.
A simple option for this could be to add a "Custom Metric" into the list of 5 options from the settings. The Custom Metric can then be a list of Metrics with a user-defined weight, e.g.
Tick Box Metric Name Weight
Y SQN 1.5
Y Count of Trades 1.0
Y R Squared 2.0
so the user can specify how important each metric is. A final number (e.g. between 1-100) is output. The user should then be able to sort the collection according to that number.
What do you think of this idea?