Hi Matthew,
It will be interesting when Petko responds which I am sure he will soon but here are some of my thoughts and suggestions.
First sticking with FTMO free trials is smart because you can do them as many times as you want with good metrix information but also just regular demos are obviously great too.
1. Why have you chosen to generate using the complete sample and then normalize only on the 30%, that is not logical to me (It’s not a huge deal but is there a reason?)
2. Your acceptance criteria looks fine to me although the complete pf>1.2 is redundant since you have it in both the IS and OOS but 1.2 for both is a good target in my opinion.
I totally understand the problem of the losing ones killing the overall portfolio, this is where running some tests will be really useful.
I don’t think there are any hard and fast rules as to how many trades etc, strategies generated are random in nature and so each sample of say 300 reactor results with same settings is gonna be a bit different.
Therefore, 1.2 for 10 trades may work great sometimes but not others. To counter this I would suggest holding a Month of data or so back when you run the reactor, then using once you have a collection of 300 test this filter criteria to see if it would have worked.
What will be easier than a count of trades to test will be a time period, so if for example you used the validator to see what would have happened if you traded only strategies that had a pf>1.2 for both a week and a month prior to your reactor end date then how would your results have been if you traded on the month of data that you held back?
<p style=”text-align: left;”>I hope this makes sense, your approach is close from what I can see. You are creating and robustness testing strategies to target a pf>1.2 and then only accepting ones that also stay true to this profit factor in the OOS, but then you are kind of randomly just selecting a filter criteria whereas I believe if you run some reasonably quick tests then you could give much more confidence to your filter criteria of over what periods you want to see a strategy stay true to this profit factor before you move it to live(or mock live demo in this case :-)</p>