What is a good algo – criteria of a good algo

• 11/02/2023 at 4:24 PM #223154
  jmf125

  I would be interested to hear what others consider as minimum criteria for an algo to be considered as a “good” strategy/algo.
  The criterias apply for the OOS or live period (minimum 1 year) i.e after the strategy is established and the algo has gone live or in demo.
  Below are what I consider the minimum criterias
  First of all, I will determine the minimum capital required  for running the algo in such a way that I will have a 0% chance of risk of ruin (meaning if you start with unlucky string of losing trades you do not want to run out of capital, just google risk of ruin if you are not familar with the concept of 0 % of risk of ruin).

  Basic Criterias for considering the algo (ideally only for OOS):

  1. Profit > 30 %
  2. Profit / Drawdown> 1.25
  3. Annual Profit > 1 K
  4. Consecutive Losses < 3 or win rate > 80 %

   

  

  jmf125

  Participant

  Topics: 8

  Replies: 111

  Been thanked: 14 times
  11/03/2023 at 4:26 PM #223177
  robertogozzi

  These topics sound quite alike https://www.prorealcode.com/topic/is-this-system-to-good-too-be-true/ and https://www.prorealcode.com/topic/what-is-considered-good/.

   

   

  1 user thanked author for this post.

  jmf125

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17188

  Been thanked: 4064 times
  11/03/2023 at 8:48 PM #223189
  jmf125

  Thanks Roberto will tag along the second link.

  

  jmf125

  Participant

  Topics: 8

  Replies: 111

  Been thanked: 14 times
• Author
  Posts