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Posts: 5

Topic: Generator setting

Hi all again,

i need help about the Generator setting...
Can someone explane me the difference between these setting in the generator strategy?

- Net balance
- System quality number
- Sharpe ratio
- Annualized profit
- Average HPR
- Geometric HPR
- Profict factor
- Win/loss ratio

....or provide a link as well...

Thank you
Andrea

2

Re: Generator setting

You can Google it

3 (edited by andreaardenti 2016-05-12 14:44:03)

Re: Generator setting

It's possible to have a more exaustive answer...
GD... thank you the same (while you have the time to write... you can answer instead of what you wrote)

Sorry for my ignorance!


....It's possible to know if there is a more proficent strategy to have a good equity line? (regardless of the kind of strategy used...)

4 (edited by vidagig_13 2016-05-12 16:28:05)

Re: Generator setting

Hi Andrea - I'll try..

"i need help about the Generator setting...
Can someone explane me the difference between these setting in the generator strategy?

=> 1. NB: These are not settings these are 'performance metrics' to tell you how each generated strategy performed.

2. NB: The Generator Settings you can control before pressing 'Start' are to be found in 'Generator / Common; Settings; and Indicators'.
3. NB; Under 'Generator/Settings' is a link to 'Acceptance Criteria' (which is located in/under the Control Panel).
Confusing, I know, until you become familiar with the (logical) structure and settings in FSB.
4. So e.g. in 'Acceptance Criteria' you could specify a maximum allowed deviation in the Equity Line - to try to generate strategies with a more or less 'volatile' equity line.

- Net balance => The closing balance result of a strategy run over the historical data used; starting with a specified 'starting balance' with default at $10 000, I think.
In the 'Repository' you can see all the generated strategies with the metrics you refer to. It is saved as a 'Strategy Collection' - you can change the metric used to rank the view of all strategies in a Collection; and open individual strategies, etc.

- System quality number => A common 'industry terminology" and 'Performance Metric' - used to measure and compare system performance based on certain set criteria for fair and accurate performance measurement and comparison.
Example Google link: http://www.strategyquant.com/forum/topic/3112-sqn-system-quality-number-error-calculation/


- Sharpe ratio
- Annualized profit
- Average HPR
- Geometric HPR
- Profit factor
=> Same answer applies to all these - as above, it's commonly used and widely accepted (strategy, account, trader, investment, etc) performance metrics. They measure different things and have different strengths and weaknesses as performance measurement metrics.
I prefer metrics like 'Annualized profit %'; Maximum % Drawdown' Days Stagnation, Total Trades, etc. as useful performance metrics, for example.

- Win/loss ratio
=> Now this metric is very important - along with your average profit and loss size ratio.
A ratio of wins to losses e.g. Win/loss ratio 0.95 = 95% Wins = 95 wins and 5 losses out of 100 total trades.

....or provide a link as well..." => Google please.

....It's possible to know if there is a more proficent strategy to have a good equity line? (regardless of the kind of strategy used...)

=> So, this question is really what we're all often trying to find and there is no short answer except experimenting and researching.
So, for example a 'scalper' strategy - taking small profits using a big Stop that rarely gets hit - this will have a great equity line - often for a long time - until of course that huge Stop eventually gets hit - then the great line falls off a cliff..
If the big Stop can be recovered quickly enough, it can be a viable strategy. It will show a very high win:loss ratio and a very high loss size($):profit size($) ratio.

Some strategies will use the opposite of the above ratios i.e. many small losses for occasional big profits e.g. moving average strategies.

There is no Holy Grail and no lasting profit without effective (account) management - of risk, profits and losses.

Re: Generator setting

Really THANK YOU vidagig_13!!!

Posts: 5

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