Glossary
Glossary
Astab. Anchored parameter stability in a walk forward test. >=40 is preferred. Also see Rstab
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.
GA - Genetic Algorithm
GSB – Generic System Builder
GUI Graphical user interface
OOS – Out of Sample
IS – In the Sample
TS – TradeStation
MC - MultiCharts
MOC – “Market-on-close” order is a market order that will be executed at or just before the market close
Pearsons - 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. 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.
VIP – Very important
WF- Walk-forward
Walk forward efficiency. This is the annualized rates of return for the out-of-sample results divided by the in-sample results.
Params- Parameters
Fav – Favorite
SF SEcondary filter.
Dts – Trading Dates Mode
VS – Verification Score
VSS Verification statistics summary
WFS – Walk-Forward Status
F-F – Fitness-Full period
NP-F – Net Profit (in $)- Full Period
DD-F – Draw-down (Closed Trades) Full period
AT-F – Average Trade (in $) – Full period