Optimizing strategy settings using PF

Discussion in 'Strategy Building' started by morphtrade, Mar 25, 2010.

  1. I have a fixed sample set to which I apply set of strategy settings and derive series of profit factors.
    I want to filter out the setting which gives consistently high pf and avoiding some big swings at the same time.

    So what I did was sum(pfs) / stddeviation(pfs) simile sharpe but using pf instead of returns. It doesn't seem to work.

    Here's an example:

    sum(pfs_s)/std(pfs_s)
    15.7184805417

    sum(pfs)/std(pfs)
    37.9844408612

    pfs
    [0.77037037037034339, 1.2999999999999545, 0.74285714285713855, 0.8242424242424049, 0.82432432432427116, 0.90666666666664542, 0.77037037037034339, 0.68539325842692356]

    pfs_s
    [0.79999999999996541, 2.166666666666591, 1.2999999999999545, 0.57777777777775752, 1.2999999999999545, 0.79999999999996541, 0.96296296296292927, 2.5999999999999091]

    pfs series outputs 37.98 but clearly pfs_s looks much better to me with most of pf above 1.

    What's the best filter I can use in this scenario?
    Maybe I can use some weighted avg. I would appreciate any suggestions.