[131]Can it possible to add the worst result in WFM for compare

Dear SQ team

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.

Attachments
  • Votes 0
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

SC
#1

fxchess

26.04.2021 09:51

Task created

SC
#2

fxchess

26.04.2021 10:09

Description changed:

Dear SQ team

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.

SC
#3

fxchess

26.04.2021 10:16

Attachment 2021-04-26_161534.png added

2021-04-26_161534.png
(34.52 KiB)

Votes: 0

Drop files to upload

or

choose files

Max size: 5MB

Not allowed: exe, msi, application, reg, php, js, htaccess, htpasswd, gitignore

...
Wait please