MRTF stands for “Minimum Rolling Trade Frequency”.
When assessing the performance of a trading strategy or system, it is important to consider a sufficient sample size of trades in order to ensure that the results are representative of the overall performance. This is where the concept of the minimum number of trading frequency (MRTF) comes into play. The minimum number of trades refers to the minimum number of trades that must be made in order to accurately evaluate the performance of a strategy or system. The determination of this minimum number is influenced by the level of confidence and statistical significance that is desired in the evaluation.
It is worth noting that some investment managers may choose to stop trading in order to avoid further losses to an account. While this may seem like a logical strategy, it can skew the results of a performance evaluation if the minimum number of trades has not been met. To prevent this, the minimum number of trades serves as an active measure to ensure that a sufficient sample size of trades is taken into consideration when evaluating performance. This way, investment managers can make informed decisions and continue to receive their basic management fee or salary without risking further losses.
Increasing the frequency of trades or the number of trades within a specific time period can potentially lead to more statistically significant results for a trading strategy. This is because a larger sample size can provide a clearer picture of the effectiveness of the strategy and help to reduce the impact of any random fluctuations or outliers in performance.
It means that your trading performance evaluation result $(EvalRes)$ for the submitted backtesting period $(t\in(start,end))$:
$$ \min\limits_{t\in(start,end)} (\begin{align*} \text {NumTrades}_{H} \end{align*}) \ge 211 $$
where $H$ is the investment time horizon or the observed length of each sampled successive rolling window during the submitted backtesting period.
MRTF application is detailed in Profit Sharing page.