Jim Dean
 Elite
   Posts: 1059
Joined: 10/11/2012
Location: L'ville, GA
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Hi, Steve(2)
I like your approach a lot. It's sensible, and psychologically satisfying. I might well choose to use a Port that has a lower CAR, if the "score" you are describing is high.
Suggestion: optionally allow for the various periods-slice results to be forward-weighted somewhat, so that a case with 80% periods profitable with the 20% unprofitable near the left, will show up as worse than 80% profitable, with the 20% profitable near the right.
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