Forums ProRealTime English forum ProOrder support Strategy Robustness Tester Reply To: Strategy Robustness Tester

#108722

I think it would be interesting to see what sort of robustness test results everyone is getting. Here is what I consider to be my most robust strategy test results so far.

 

The images attached are for three robustness tests on an SP500 weekly strategy with settings for QTY and RANDOM of 21/5 and 20/5 and 10/10.

21/5  test = 60.1  avg gain score and  86.9 %winners score = 73.5 average score

20/5  test = 49.2 avg gain score and  78.5 %winners score = 63.8 average score

10/10 test = 64.4 avg gain score and 87.4 %winners score = 75.9 average score

 

Average of all tests:

57.9 avg gain score average

84.3 % winners score average

71.1 overall average score

 

The final image is the strategy performance without the robustness testing.

I think that the above differing results confirm the importance of carrying out multiple robustness tests with different settings on every strategy.