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What are you metric or benchmarks for evaluating the profitability of your quant or profitable technical analysis trading strategy?

(Last Updated On: October 15, 2013)

What are you metric or benchmarks for evaluating  the profitability of your quant or technical analysis trading strategy?

Is it any of these:

Simple returns, log return, and average returns
Skewness, Kurtosis (fat tail analysis), Volatility is variance of log or simple returns
Performance attribution also known as benchmarking
Periodic or simple rate of return
Portfolio optimization in the presence of transaction costs
Profitability in limit orders
Sharpe ratio from Chapter
Simple returns, log return, and average returns

What are some of the missing ways you measure? Comment below or

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