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Entries Tagged as 'bliss function'

Bliss recipe with a robustness spice

February 4th, 2010 · 2 Comments · Backtest

This post is trying to present a process to determine your bliss function, as a follow-up to the previous post introducing the bliss function concept. We’ve seen that the bliss function is not a universal function but needs to encapsulate your own criteria for evaluating a trading system. Similarly to popular dishes, everybody has got […]

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Bliss Function: Quantify your Trading System Objective

January 21st, 2010 · 4 Comments · Backtest

Backtesting mechanical trading systems involves a great deal of optimization: testing and running a system across a myriad of parameters to choose the one(s) that produce the best results. But what is “best”? How do you measure best results, though? Compound Annual Growth Rate (CAGR) is one of the first metric that comes to mind […]

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