Hello All! 

We're looking for feedback on a proposed new scoring function for algorithms. This "fitness function" would allow algorithms to be compared so we can provide a cut off for acceptance to Alpha Streams -- we've laid out the research in the notebook attached and would love your feedback!

One note other than what's laid out below; the reason Sortino and RoMaD were selected for the research is that Sortino covers the average volatility of the strategy, while RoMaD covers the absolute single worst case drawdown+return. They're both risk-adjusted but using the combination we can filter martingale-like strategies which will have bad single day drawdowns while having a great Sharpe Ratio. 

If you have suggestions please clone the notebook and attach your own suggestion!