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    Exchange of your strategy evaluation indicators

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    evaluation strategy
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    • J
      Jonny8 last edited by

      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=1

      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:

      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 Index

      So does anyone have recommendations / experiences to share?

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