We know that WFM are try to find the robustness strategy in different runs and oos%.
But when we setting the ranking filter it only can set the "best" result compare with original or some target level.
What if I want to compare that the worst result with some target level like
Worst WF Net profit > 2000
I find I can't do it.(The worst means one of all WF result)
In the build process we can set the ranking to tell SQX filter the Net profit must be bigger than 2000.
In monte carlo we can also set the 95% confidence to check the worst performance with strategy.
But in optimization it set default with the best result.
It can't set the worst result in optimization for compare it to confirm the worst performance good or bad.
So, that is why I want to add this features.
Thank you.
Description changed:
We know that WFM are try to find the robustness strategy in different runs and oos%.
But when we setting the ranking filter it only can set the "best" result compare with original or some target level.
What if I want to compare that the worst result with some target level like
Worst WF Net profit > 2000
I find I can't do it.(The worst means one of all WF result)
In the build process we can set the ranking to tell SQX filter the Net profit must be bigger than 2000.
In monte carlo we can also set the 95% confidence to check the worst performance with strategy.
But in optimization it set default with the best result.
It can't set the worst result in optimization for compare it to confirm the worst performance good or bad.
So, that is why I want to add this features.
Thank you.