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Given the previous example; How much better is an algorithm with higher ranking (e.g. 800)?
Thanks in advance, JJ
Given the previous example; How much better is an algorithm with higher ranking (e.g. 800)?
Thanks in advance, JJ
Or: Is the ranking a reliable indicator of the algorithm's performance?
Given the previous example; How much better is an algorithm with higher ranking (e.g. 800)?
Thanks in advance, JJ
Given the previous example; How much better is an algorithm with higher ranking (e.g. 800)?
Thanks in advance, JJ
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Hi Juan, the ranking depends of the number of backtests ranked over yours, even that you could share the same position with other backtests results that have the same score.
[tex]Score = \frac{SharpeRatio * CompoundingAnnualReturn * ln(\frac{1+TradeableDates}{524})}{5*\frac{1+DrawDown}{10}}[/tex]
[tex]Score = \frac{SharpeRatio * CompoundingAnnualReturn * ln(\frac{1+TradeableDates}{524})}{5*\frac{1+DrawDown}{10}}[/tex]
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Thank you Gustavo!
Maybe is a good idea to show the Score along with the ranking; or show the Score below the backtest name in the result tab. Just a thought.
Cheers, JJ
Maybe is a good idea to show the Score along with the ranking; or show the Score below the backtest name in the result tab. Just a thought.
Cheers, JJ
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All of my testing comes out at 45%. What are some of the better result comparisons?
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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