This is why I delete the part asking him if he understand it but still you asked about the profit factor, right? Trade volatility is a different issue.
Practical maximum profit factor for a "curve fit" vs. robust system?
- Thread starter logic_man
- Start date
This is why I delete the part asking him if he understand it but still you asked about the profit factor, right? Trade volatility is a different issue.
I think the payoff ratio is more important than the pf. If you can get pr > 2 with no optimization then you may have something. Profit factor is not a robust measure.
Is that because you think winning percentage fluctuates more than payoff ratio?
Payoff ratio is in that range, although if you take the strictest definition of "optimizing" it's lower.
The issue is that there are a few easily identifiable objective factors which signal to me that the trade signal is likely a "false positive". Those are trades I will not even consider taking, even though on a literal interpretation of the trading strategy, they meet the initial criterion. But, that only matters if you take the initial statement of the criterion for a trade signal as the definitive statement of the criterion, which doesn't necessarily have to be the case. As I developed the strategy, I identified other parameters aside from the initial parameter which turned out to have some meaningful influence on the final result. Back before that I "didn't know what I didn't know". I'm not sure I'd call that "optimization".
