I agree with Nicolas re. his point about using the WF module more in order to differentiate strategies better. Since it’s new, it will take some time for users to adopt this regularly but it’s something that should be encouraged in order to achieve the ranking system we are discussing here. If we were to put forward as a community a list of standard components that contribute to overall ranking of a strategy then once the more experienced posters start to use this methodology then hopefully others will follow when posting their strategies. It’s not easy definitely but the first push is always the hardest 🙂
With regards to this I would also suggest that in PRT we need a “Points Profit/Loss” metric in backtests and results, not just £/$/Eur monetary value. As Nicolas and noobywan mentioned earlier, there are numerous strategies that adopt increasing size, position management etc in their code. Stripping out the effect of these allows you to analyse the underlying profitability of the technical strategy separately from the scaling/money management portion. This also allows comparison across markets by removing the monetary value of a point in each contract eg. a mini contract vs a standard contract vs a £1 contract, and across asset classes eg comparing an index vs a commodity would be easier. It also removes the issue of comparing results between strategies with different starting capital as some use 5k, 10k, 25k etc because we would also have the draw as a points (and a % of points) number not just a % of value number so we would not have to “force” people to use the same starting capital. This allows different users to choose a strategy and use the contracts and starting capital that best suits their risk profile.
The end result being, if we are allowed to compare strategies easily it would engage users to look into deeper into each strategy to see how/why/if one gives a better £ profit than another etc etc which is one of the aims of this forum I think, to try and understand and improve strategies. Eventually I think we would have a rating (see my earlier recommendation) incorporating a points profit parameter and position management parameter – I have some additional thoughts on how we could incorporate both into a single rating. But critically we need this points based system I feel to get started because as we know, if we don’t get the technical entry points correct, the position management of the strategy becomes irrelevant.
Nicolas – apologies, this suggestion probably belongs in a PRT development thread, but I felt it relevant here and hopefully if people see the value of this in comparing strategies then you may see fit to try and get it “fast tracked” by the software team.
