Pair Trading Lab Helpdesk & Forum

Pair Trading Lab => Questions & Answers => Topic started by: tcima on October 13, 2021, 06:57:41 pm

Title: "Profitable also having profit in last 6 months", Pair Database
Post by: tcima on October 13, 2021, 06:57:41 pm

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"?

Title: Re: "Profitable also having profit in last 6 months", Pair Database
Post by: admin on October 14, 2021, 04:25:25 am

It is the Sharpe Ratio filter.

From manual:

Quote

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...).

Title: Re: "Profitable also having profit in last 6 months", Pair Database
Post by: tcima on October 14, 2021, 06:22:25 am

Aha, "Sharp ration >= 0" does this job, doesn't it?

Thanks for your input.