What Metric Should You Optimize On?
By Dave Mabe
In this week’s episode of Line Your Own Pockets, we discuss a common question from systems traders:
What metric should you be optimizing on?
I go over the 4-5 metrics I use and why trying to boil it down to a single metric is a form of "holy grail" searching.
I explain the definition of the equity curve quality metric I use to evaluate equity curves.
We discuss:
Profit Factor
Win Rate
Expectancy
Sortino
Sharpe Ratio
I completely ignore the last two metrics, and I explain why.
-Dave