Author Topic: "Profitable also having profit in last 6 months", Pair Database  (Read 594 times)

tcima

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"Profitable also having profit in last 6 months", Pair Database
« 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"?

admin

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Re: "Profitable also having profit in last 6 months", Pair Database
« Reply #1 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...).

tcima

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Re: "Profitable also having profit in last 6 months", Pair Database
« Reply #2 on: October 14, 2021, 06:22:25 am »
Aha, "Sharp ration >= 0" does this job, doesn't it?

Thanks for your input.