Topic: Acceptance Criteria Opinions Requested: R/DD
I am using an OOS period of ~7 months (IS ~15 months).
Minimum Number of Trades is 100 IS and 40 OOS.
What is the "Minimum R/DD" that may be "acceptable" in the OOS period.
Let me define "acceptable" in this case. This would be (close to) the minimum R/DD during this OOS that could occur for the strategy to still be considered for use in your portfolio pending further results or testing. For the lower R/DD values, this would be an "inconclusive results" conclusion. The strategies that fall within these range can be further considered or pruned altogether.
The reason I ask is because currently the Acceptance Criteria do not allow for a R/DD of less than 2. I think this may be a bit too restrictive for short-term periods and it this minimum should probably be dropped to 1 (maybe even less?). In general, R/DD gets larger with more data. A standard I've seen used for validation is R/DD of 0.5 per year.
So for example, in my 7 month OOS period, my EA has made a total profit of $1000 while incurring a $1000 drawdown somewhere along the way, that seems that it may still be a potentially viable strategy with a R/DD of 1.