Exchange of your strategy evaluation indicators
I would like to know how you evaluate which strategy works better.
I found this forum post which is insightful:
In the beginning I was focusing merely on profits, but since these barely make a strategy sound, I would like to know what you are using. At the moment I am stuck with sharpe.
But i am looking into the others given in quantstrat:
Risk of Ruin
Expected Shortfall (cVaR)
Common Sense Ratio
Outlier Win Ratio
Outlier Loss Ratio
So does anyone have recommendations / experiences to share?