111: David Bush – Strategy Objectives, Statistical Significance, and Market Behavior
Chat With Traders
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How to Maximize Your Portfolio of Systems
An objective function is a formula that can be pretty simple, usually made up of a few different metrics and essentially it's a score. So let's say going into this, I want to achieve a sharp ratio of one or greater, you know, max drawdown of 20%, something like that. How much would you be willing to vary on these metrics? It could be anything from an average annualized return that was a multiple of the worst drawdown figure in my opinion.
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