Posted By: Mithrandir77
[CONTRIBUTION] Benchmark a strategy against random strategies - 03/14/19 03:39
Inspired by the script presented by boatman in this post https://opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=449557
I created a script to compare an strategy against several random strategies in order to find the significance of it. Basically it creates random strategies that make the same number of trades with the same average duration of the actual strategy. I decided to share it with the community, the repository is:
https://github.com/Mithrandir7777/ZorroRandomStrategyBenchmark
One thing I plan on adding is using the average exit time per asset and not the average exit time of the performance report. For that it would be necessary to loop inside trades in exit run.
I created a script to compare an strategy against several random strategies in order to find the significance of it. Basically it creates random strategies that make the same number of trades with the same average duration of the actual strategy. I decided to share it with the community, the repository is:
https://github.com/Mithrandir7777/ZorroRandomStrategyBenchmark
One thing I plan on adding is using the average exit time per asset and not the average exit time of the performance report. For that it would be necessary to loop inside trades in exit run.