Portfolio Boss Documentation

Overall Top Results Tab

 

 

This Tab lists the crème de la crème of the top strategies. These are the best 20 strategies from all the Backtest Items (all the Divine Engine backtests) you did in this strategy. Here you can load the top strategy's parameters and make it the active one.

The top 20 are picked based on their final Fitness Score (in-sample), as shown on the Backtest Results Tab's “Fitness (IS)” column; regardless of what metrics they used as Fitness Functions.

 

 

If you do another Divine Engine backtest, some of its top strategies may end up here replacing the previous crown holders. The list is capped at 20 at all times. Note, only strategies from Divine Engine backtests are shown here, not from standard/manual backtests.

Let's now discuss the various columns there:

 


 

1.  Rank – This shows the Rank of each top strategy.

 

 

The strategy with the highest “Fitness (IS)” score has the top rank, and it goes down from there.

 


 

2.  Load Parameters – These buttons load the parameters of the top strategies.

 

 

Clicking this button updates the current strategy to conform with the rules of the strategy you selected, very similar to loading a top strategy from the Backtest Results Tab.

You can load a top strategy while the cloud backtest is still running.

 


 

3.  Fitness – These columns show the strategies' final Fitness score.

 

 

They show the final Fitness score (aggregated & normalized into 1) for both the in-sample and out-of-sample period.

 


 

4.  Metrics Score – These columns show the metrics' score of the top strategies.

 

 

By default, the metrics shown here are based on the Fitness Functions you listed on the Backtest Parameterization panel.

 

 

If you remove the Fitness Functions, the columns will be removed as well.

If a metric doesn't have a column here, you can add it (and other metrics) by using the “Manage Columns” dialog:

 

 

“IS” means the in-sample score, “OOS” the out-of-sample, and “AS” the all-sample period (the whole backtest period). Should you wish to hide any columns, simply deselect them from that dialog and press OK.

 


 

5.  Test Date – This shows the date & time the top strategies were born.

 

 

This is the local date & time on your computer.

 


 

6.  Select Backtest Item – This button lets you select the Backtest Item a top strategy belongs to.

 

 

The Backtest Item will be highlighted (selected) on the Backtest Results Tab.

 

 

This is useful, for example, if you want to check the top strategy's siblings, and decide whether some of them have more convincing performance than the top strategy.

 


 

7.  Delete Button – This button deletes a top strategy.

 

 

Once removed, the top strategy is neither found here nor in the Backtest Results Tab; it's gone entirely from history. This is useful to delete garbage strategies, so your collection of 20 top strategies stay neat and easy to find.

 


 

Notes:

 

  • Remember, the top 20 strategies are picked based on their final Fitness Score (IS), regardless of the Fitness Functions used (between the various Backtest Items). Hence, for each and every Divine Engine backtest, you must craft a Fitness Function with a sensible threshold, so that one Metric doesn't trump the other ones due to its mindbogglingly high final Fitness Score (after factored into 1). For example, metrics such as “Avg. Position Gain” or “Avg. Trades Per Year”, usually yield very high Fitness Score if their threshold is set low. Thus the top 20 will be skewed to favor strategies with such metrics, trumping other strategies with sensible metrics such as CAGR.
  • If you believe such strategies may prevent the “normal” ones from being listed in the top 20, you can just delete them. The Tab will then automatically pick the next top strategies previously not included in the top 20.
  • Obviously, if you delete a Backtest Item (or a top strategy) from the Backtest Results Tab, it will cease to be listed in this Overall Top Results Tab.
  • Each column is sortable top to bottom and vice versa. The metrics columns can also be moved around by dragging the column header. For example you want the CAGR (IS) column to be displayed on the left for easier visibility, then click and drag its header toward the left. Even after a restart, these columns stay where you put them. The default columns though, such as “Rank”, “Fitness” (IS and OOS), and “Test Date” can't be dragged around.

 

 

 

 

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