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Quant analytics: Backtesting a strategy and wondering what are the best metrics to evaluate the results of the trades

(Last Updated On: November 13, 2011)

Backtesting a strategy and wondering what are the best metrics to evaluate the results of the trades (beyond overall PnL, Profit Factor, Winning Trade %) . Any othe industry standards?


If you’re talking only about trades then I think favourable/unfavourable excursion would be one of the most important parameters. What you mention are parameters for estimating the overall system performance. And of course there are a lot more, like Sharpe, Sortino, and many other ratios and coefficients. However using them is mostly a matter of personal taste, while Sharpe seems like being the industry standard used by fund raisers and recruiters.

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