MC12 WFA report: What is "PostOptimization Risk"?

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wilkinsw
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MC12 WFA report: What is "PostOptimization Risk"?

Postby wilkinsw » 15 Jan 2019

Hi,

In the MC12 WFA report:

What is "PostOptimization Risk"?

Thanks,

Will

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Anna MultiCharts
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Re: MC12 WFA report: What is "PostOptimization Risk"?

Postby Anna MultiCharts » 29 Jan 2019

Hello, wilkinsw!

PostOptimization Risk is calculated as the average drawdown multiplied by 1.5 and allows for estimating the post-optimization trading risk.
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