What does the basis parameter control?
The trade optimizer will crunch hundreds to thousands of various models very quickly. When calculating a model that ranks by Sharpe ratio or FT Alpha, we need a basis which to compare each member of the family we are ranking.
There are two options when deciding a basis.
- Compare to a defined ticker – Popular for Sharpe rankings
- Compare to the equity curve – popular for FT Alpha rankings
Use the Basis inputs on the trade optimizer to customize the basis used for each calculation.