Ranking criterion
The ranking criterion decides which strategies make it into the top N during the Mass Test. It is not just about sorting: the criterion decides which ones are kept and which are discarded once the list is full. Picking the wrong criterion produces misleading results. The results table is sorted automatically by the chosen criterion (you can re-sort by clicking any header).
Win%
Percentage of winning trades. Simple and intuitive. The problem: with MaxAnd=2 or 3, many strategies fire very few times and post high Win% by chance (e.g. 8 wins out of 10 = 80% with almost no statistical significance). Those junk strategies fill the top N and push out the genuinely good ones.
Profit Factor
Gross profit / gross loss. It penalizes strategies that only win by luck: a strategy with few trades and PF=3 probably makes very little in absolute terms. Recommended for MaxAnd=2-3: it is more resistant to overfitting than Win% because it takes trade size into account.
Net P. %
The cumulative sum of percentage returns per trade. It rewards strategies with many positive trades (frequency × magnitude). Useful when you are after high-frequency strategies. Ones with few trades rarely dominate even with a high PF.
Net P. $
Net profit in currency (points × point value − commissions). Equivalent to Net P. % but scaled to the real instrument. It needs Point Value and Commission to be set correctly.
MaxAnd=1: Win% or ProfitFactor.
MaxAnd=2-3: use ProfitFactor + MinTrades ≥ 30 to avoid low-trade strategies with an inflated Win%.
TP/SL range: Net P. $ gives a fuller picture because it includes the size of the moves.
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