Glossary
Glossary
"-F" Full Period The logic behind this is in a good trading system, the best parameter should be find quickly, and remain stable as possible over numerous Walk Forward runs. Inversely if a parameter in a trading system is not stable, its less likely to be robust or stable. Astab-C. This is Anchored parameter stability coarse. This gives some tolerance in parameter stability, before the Astab-C score os degraded. For example average(close,x). If x was 99 vs 100 Astab would be degraded. Astab-C would not. But if x was 2 vs 3, Astab-C score would be. AT Average Trade Fav – Favorite. THere is A,B,C,D. GA - Genetic Algorithm GUI Graphical user interface IS In-Sample MOC – “Market-on-close” order is a market order that will be executed at or just before the market close OOS – Out of Sample Pearson's. This is the Pearson's correlation to a straight line. The x axis is normally the trade number, but can also be date. The perfect correlation score would be 1. Rstab. (legacy) Rolling parameter stability in a walk forward test. >=62 is preferred. See also Astab. Rstab-C. see This is Anchored parameter stability coarse. See Astab-C above. SF Secondary Filter VIP – Very important Walk forward efficiency. This is the annualized rates of return for the out-of-sample results divided by the in-sample results. XP Exit Price |