Standard Deviation

I love your implementation of SPP and WFM.

Could you please add the standard deviation calculation to your list of available variables to filter on? as those are the most important calculations for these methods as they are described by their inventors.
for example:
when SPP or WFM calculations are done, I would like to filter on the following:
Net Profit < (Avg Net Profit + 2 StDev) of all runs
Number of Trades > (Avg Trades - 2 StDev) of all runs
CAGR < (CAGR + 2 StDev) of all runs

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  • Votes +1
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

AC
#1

A Casey

11.03.2021 18:58

Task created

AC
#2

A Casey

29.03.2021 02:34
Voted for this task.

Votes: +1

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