The optimization report has various metrics to help you gauge the improvement each indicator suggestion can make. Understanding these metrics can help you make better decisions about which rules to apply to your strategy.

Indicator

This is the indicator (column) name for the optimal rules found in the backtest. These are ordered in reverse order by their potential predictability on the strategy. Higher in the list means more importance for the strategy.

Comparison

Either >= (greater than or equal to) or < (less than). This indicates whether the better set of trades is found by using the value in the following column as a minimum value or a maximum value.

Value

The optimal value of the indicator to split the trade set into a set of "better" trades and "worse" trades. What is optimal in this case?

The optimizer looks for the best way to find two sets of trades using a single value from the indicator to split the trades. The "best way" in this case is the biggest difference between the average profit of the "better" trade set and the "worse" trade set.

In practice, when creating a trading strategy, this is exactly what you're trying to do.

Rank

The importance ranking of the indicator relative to other rules found in the report. The lower the rank, the more importance it has on the strategy.

Total Profit Improvement

The total profit improvement found by applying the rule to the strategy. This includes scaling to get a better sense of the potential improvement. See the article on Scaling for more information.

Equity Curve Improvement

A measure of the equity curve quality improvement. The equity curve quality is a measure of the correlation between the equity curve and a 45 degree line going up and to the right. An equity curve quality value of 1 means its perfectly correlated with a 45 degree line. A value of -1 means it's perfectly uncorrelated. That is, it's perfectly correlated with a 45 degree line going DOWN and to the right.

The improvement value in this column is computed by taking the equity curve quality of the trades in the better trade set (the green line) and subtracting the curve quality value from the trades in the worse trade set (the red line).

The maximum value for this field is 2 (1 - (-1))

Better Trades

The number of trades in the better trade set (the green line).

Worse Trades

The number of trades in the worse trade set (the red line).