Trading SPY 30-Minute Bars With SAR part 2 by Dennis Meyers, PhD
In this second part of a two-part article, we look at which combination of performance metrics gives you strategy inputs that produce good trading results.
From part 1 of my article last month (and if you haven’t read it, please do!), you’ll know that it’s my objective to find a performance metric filter that I can apply to the in-sample (IS) section of data that can give me strategy inputs that will produce, on average, good trading results in the future.
When I use TradeStation to perform an optimization over many combinations of inputs, it creates an output page that has as its rows each strategy input combination and as its columns various trading performance measures or metrics such as profit factor, total net profits, and other metrics...