Trading Optimizer (IDT)
Daily intra-day trading simulation with user-defined risk and performance preferences, ranking horizons to identify top-performing strategies.
Format: yyyymmdd
Computed by asof vs model window
Risk Score = wS·Sharpe − wT·Turnover − wD·MaxDD (scaled 0–10).
Perf Score uses ONLY these 5 metrics: Total, Avg, Median, Win%, Trades (robust-scaled, 0–10).
Top-K Recommendations
anchors
Risk-based
Performance-based
Risk by Horizon
Anchors
Risk Metrics
| Horizon (ms) | τ | q | Sharpe | Turnover | MaxDD | Utility | Risk Score (0–10) |
|---|
Performance by Horizon
Anchors
Simulation Results
| Horizon | Trades | Total PnL (bps) | Avg PnL | Median PnL | Profit | Loss | Flat | Win % | Perf Score (0–10) |
|---|