How to encourage smooth & consistent equity curves

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How to encourage smooth & consistent equity curves

Postby mandelmus » Mon Aug 25, 2014 3:48 am

It looks like some of my OneClicks are selecting top strategies based on a handful of outliers. In other words, the equity curve will follow the index smoothly for several months and jump-up bigtime on a few 'lucky' trades that gapped-up 10+%. It's frustrating when the strategies with a couple big pops bump the existing smooth and consistent strategies off the list. Which metrics and settings should I use to encourage a smoother and/or more consistent equity curve rather than one with a couple big pops?

I've looked through the settings in some of the pre-made OneClicks but not sure which combinations are important:
Minimal Skew
Strong Trades ($C_DailyROR)
Outlier Test ($F_NetProfit - $F_SelNetProfit)
Standard Deviation Per Month / Year
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Re: How to encourage smooth & consistent equity curves

Postby Overload » Mon Aug 25, 2014 8:35 am

The "Outlier Test" is my favorite for identifying this type of issue. The Select Net Profit ($F_SelNetProfit) is the same as the Net Profit ($F_NetProfit) except that it excludes positions that had returns with more than 3 standard deviations from the average. So, as an example, if your Net Profit is 20% higher than your Select Net Profit, you'll know that 20% of your profit came from those outlier trades. If you don't want your system to have many outlier trades, you should look for a system where the Net Profit is not significantly higher than the Select Net Profit.

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