Suggestions on ranking and selecting top strategies

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mandelmus

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Apr 28, 2013, 5:39:01 PM4/28/13
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The "Conditions for Selecting Top Strategies" is one of my favorite features in Builder.  One way I'm using this feature is by selecting some of my favorite Build Objectives (significance, corr coeff, ave bars, ave bars wins, ave bars loss, total net profit, no trades, to name a few) and then adding those same objectives to the "Conditions for Selecting Top Strategies".   Next, I go to "Reset on Out-of-Sample (OOS) Performance" and select a metric combination that is unlikely (or always likely) to be achieved quickly, like "Rebuild after 13 generations if OOS 'No. Trades' is less than 100 over the trading period.  This will get Builder to run indefinitely trying to achieve an unobtainable (or always obtainable) goal.  In the meantime, with each new Rebuild, the "Conditions for Selection" I set earlier, will be scraping off only the "interesting" strategies and dumping them into the "Top Strategies" window.

The only challenge I have now is in reducing the list of dozens of "interesting" top strategies down a reasonable few.  Many of the top strategies end up being somewhat similar to each other in overall performance.  I would like to know what additional filtering criteria you all are using to select from or rank your top strategies list.

mandelmus

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May 11, 2013, 1:38:46 AM5/11/13
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The method I posted may work better when no "Build Conditions" are selected, but I'm still testing out ideas.
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