One other thing I'm just noticing ... the numbers can REALLY play games in your head. I was trying to figure out why the last code I posted "seemed worse" than the second-to-last code (only variation was a few instruments).
In the 2nd-to-last, we see AR 509%, whereas the last was AR 470%.
But, in looking closer... you can spot the improvement in other metrics:
2nd-to-last:
Annual return 509%
Profit factor 2.00 (PRR 1.65)
Sharpe ratio 1.82
Kelly criterion 2.11
OptimalF .344
Ulcer index 8%
Prediction error 37%
Last (should be "best so far"):
Annual return 470%
Profit factor 2.21 (PRR 1.89)
Sharpe ratio 1.53
Kelly criterion 1.27
OptimalF .185
Ulcer index 4%
Prediction error 31%
I think the Annual Return can almost be ignored, because right now it is all based on using only flat 1 Lot trades. This would become dramatically different when you apply OptimalF factors to the per-trade margin.
Profit Factor is a truer sign, I believe. Specifically, I really like the Pessimistic version.
Sharpe is worse on the latter. I believe this measures consistency of the returns.
Ulcer index is better, as well as Prediction error. I haven't studied Prediction error and don't fully understand it yet. But I've observed that it seems to go down as more trades are taken.
