Pair Trading Lab Helpdesk & Forum
Pair Trading Lab => Questions & Answers => Topic started by: tcima on October 13, 2021, 06:57:41 pm
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Hello,
In the public presets of the Pair Database, there is the one saying "Profitable also having profit in last 6 months".
When comparing with the items of selected filters, I could not find which filter corresponds to "having profit in last 6 months".
"Backtests performed>=15"?
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It is the Sharpe Ratio filter.
From manual:
In addition to aggregated profit stats, pair database includes also Sharpe ratios of concrete strategies:
Ratio model with period 15
Residual model with period 40
Ratio-RSI model with period 10
Kalman-grid model
Strategies above have been performed for each pair leg order, with unlimited and limited direction and for two periods:
full 3 years
recent 6 months
Only Sharpe ratios of these concrete strategies have been indexed. Select "Sharpe ratio" field for filtering/sorting using these measures. You will have to select additional options (worst/best case scenario, direction, model, period...).
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Aha, "Sharp ration >= 0" does this job, doesn't it?
Thanks for your input.