Hello

Even if I run the generator without any filter/acceptance criteria, not all generated strategies are moved to collection, but only a fraction. I see this comes from the "search best" parameter.

But how this actually works? Assuming I have no filter and I set "search best Sharpe ratio", then what is the filter? All strategies with Sharpe > 0 will get added to collection or what? What if I used "search best R-Squared", only those with R^2>x will get added? If so, what x level?

Thanks

ironhak wrote:

Hello

Even if I run the generator without any filter/acceptance criteria, not all generated strategies are moved to collection, but only a fraction. I see this comes from the "search best" parameter.

But how this actually works? Assuming I have no filter and I set "search best Sharpe ratio", then what is the filter? All strategies with Sharpe > 0 will get added to collection or what? What if I used "search best R-Squared", only those with R^2>x will get added? If so, what x level?

Thanks

If it searches for best Sharpe ratio, like in your example, then it adds strategies, which are current strat's Sharpe > collection's worst Sharpe. The same applies for R-Squared of whatever you have chosen. Addition to collection happens when a newly found strat outperforms the worst one in the collection, in other words a new better one gets added to the collection and by doing so it pushes out the worst performer.

ironhak wrote:

Thank you! So if my collection has 300 strategies and the generator is still running, if it finds a strategy with a Sharpe better than the worst of the 300 I have, it'll replace the worst one with the new found one?

Basically yes, but it might not be a direct replacement, it will not take the last place unless it is the smallest Sharpe of the 300.