SF (CA/USA)
Trading Experience: Beginner
Platform: NT / Proprietary
Broker/Data: IB / may be Kinetic
Favorite Futures: ES, CL, NQ, YM, 6E
Posts: 25 since Nov 2015
Thanks: 162 given,
6
received

What is the best way to compare multiple strategies PnL charts?
Hello, I'm looking for a mathematical formula to compare strategies pnl curves (they have diff # months/years, diff pnl, diff drawdown), I guess my goal is to classify them so the longest consistent result with the smoothest and highest pnl are first.
What do you use?
I cc some ways I found on the web
http://www.tradingblox.com/Manuals/UsersGuideHTML/tradingperformancestatistics.htm
Modified Sharpe Ratio and Annualized Sortino, seems interesting
What do you think?
thanks for your advises, have nice weekend
w
Last edited by Wil70; October 14th, 2016 at 05:59 PM.
