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Thread: Evaluating strategies

  1. Default Evaluating strategies

    I am opening this thread because I want to build up a constructive discussion of how people evaluate their trading strategies, wether they are manual or automated strategies.

    The reason I bring this up, is that I recently started toying with some automated strategies and want to figure out how I can analyze the results coming out of a backtest better. I am building a spreadsheet for this purpose and I'm looking for improvements. Just curious how you guys tackle this problem.

    I've attached snaps of the spreadsheet. It's WIP, since I need to add a whole list of things (including changing winners to green and losers to red in the chart hehe).

  2. Default

    I generally have an overview and all the detail behind it. I dont think there is too much difference in what you are calculating and what I get..
    largest win, largest loss, average win/loss etc
    Hit rate, length in trade etc are all important, along with largest drawdown

    the equity curve itself is often misleading, as you will rarely if ever be able to trade every signal given. Its all dependent on your allocation of capital at the time.
    stats of course are also misleading for the same reason above, however it helps at least identify what to look at, and factors affecting these.

    not sure if this is what you were after

  3. #3
    Andrewlew Guest

    Default

    Yeah this is kinda what I was looking for. But do you for example look at trading time? To see what times work best for the strategy, or if it perfoms during news releases etc or during low volatility periods.

    And do you have certain benchmarks for types of strategies?

  4. Default

    actual times, no. with regard to best times for the strategy I would test under up trend only, down only and then build an adaptive trend filter to recognise market and sector state.
    also was the relative strength against the broader market

    the only benchmark i have is the base strategy without any filters mentioned above
    so basically I might start with no trend filter, gradually build components into the strategy
    then throw in a neural network to possibly identify other variables.
    I rarely use a NN to trade off though, but just identify additional criteria
    Also I never optimise

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