What is the best way to compare multiple strategies PnL charts? | Traders Hideout


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What is the best way to compare multiple strategies PnL charts?

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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.
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