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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=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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