System Quality Number : Evaluation of performance of algorithm

Yannick · Wed, 23 Aug 2017 16:41:23 +0000

Hello I am looking for an evaluation of the “quality” of algorithm. I have found System Quality Number metrics developped by Tharp. Does someone used it for evaluation of his own algorithms or available strategy on the library? Regards Yannick

This topic has 15 replies, 6 voices, and was last updated 7 years ago by victormork.

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11/21/2017 at 3:10 PM #53466

victormork

Thanks @despair for your suggestion. I’ll try that in the future! I have so far calculated both for all trades and 100 trades to see how the number differentiate. It’s an easy way to detect if the quality of you system is holding up. I also check if average excess return/stdev i greater than 0,2. Systems which gets below 0,2 are normally breaking down when going from all trades to 100 trades.

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