Topic: Sort Collection by profit on unknown data (Work in Progress)
I think to make it possible to sort the strategies in a Collection by the profit made on a newer data.
When we export a Collection, it stores the time, and the stats on the last backtest in the file. (it is possible to add these records in the Portfolio Expert also)
Then, when we re-import the Collection, it shows the updated area of the chart in green (from the previous test to the moment of the newer test). However, we cannot see the actual performance.
My idea is to calculate the Net Profit made in the newer data period and add it to the sorting criteria.
These stats will be handy for re-validating of older collections.
It is also possible to add an OOS zone in days to serve the same purpose.
I think it will be able to test a prototype this week.
Do you think a proper name of the stat can be "OOS Profit"? It can be also available after generating strategies with OOS.
The OOS days options can be:
- 7 days
- 14 days
- 21 days
- 28 days
- 45 days
- 60 days
- 90 days
Where "Automatic" means from the previous backtest or from the Generator's OOS settings (also Validator and Reactor).
Any thoughts on that?