For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/
Exchange of your strategy evaluation indicators
-
Hi everyone,
I would like to know how you evaluate which strategy works better.
I found this forum post which is insightful:
https://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=6067&start=1In 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:
Calmar
Skew
Kurtosis
Kelly Criterion
Risk of Ruin
Daily Value-at-Risk
Expected Shortfall (cVaR)
Payoff Ratio
Profit Factor
Common Sense Ratio
CPC Index
Tail Ratio
Outlier Win Ratio
Outlier Loss Ratio
Recovery Factor
Ulcer IndexSo does anyone have recommendations / experiences to share?