Topic: Efficiency metric

I just noticed something that might be helpful when choosing between the available generated strategies from the "Top 10" list. I'm always interested in metrics that can help me get a more objective view when comparing (vs. a subjective view of the chart plot only, for example)

After all, the Account Balance is not the only important metric to pay attention to. I'm actually more interested in the safety of the bot than simply the balance. So it needs to be a good balance between all those metrics listed on the Top 10 page.

Anyway, please try this out the next time you are comparing charts on the Top 10 list and see if it works for you. So far it seems to work good for me:

What I'm doing is dividing the Profit Per Day by Maximum Drawdown. The higher this figure (as compared to others in the Top 10), the better the efficiency. I define efficiency as the best mix of profit-making with limited risk. See if doing this calculation shows you the "best looking" chart plot among the group.

For example, see the screenshot below. Note how the formula shows #2 is better than #1. I would agree with that, looking at the chart plots.

#1: 0.0390
#2: 0.0725 (because such a low max drawdown)
#3: 0.0225

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Re: Efficiency metric

We can easily include this metrics: Efficiency = ProfitPerDay / MaxDrawDown in the stats info. We discussed recently to make a way to reorder Top10 according to different criteria. If we accomplish this task, the Efficiency can be one of the criteria.

Re: Efficiency metric

This would also seem a good approximation to get at the smoothest equity curve provided there are a relatively large number of trades and not just a few big winners. My goal is always a smooth equity curve and I think this is the most important regardless of the actual profit generated. If this will do it then I am all for it.

Re: Efficiency metric

Great! I agree the smoother the curve the better. I don't mind stair-stepping either, as long as it's orderly and preferably at a nice consistent angle or parabolic (instead of spikey and random).

I'm starting to track this calculation on all my strategies and I'm curious if it will continue to point out the better performers. It almost seems too simple.

Re: Efficiency metric

I agree also with smoother the curve the better. I never realised but all the time I was looking for that in the generated top 10 list.