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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Springfield, MO/USA
 
Trading Experience: Advanced
Platform: Jigsaw
Broker/Data: AMP CQG
Favorite Futures: ZN, ZB
 
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Posts: 43 since Oct 2009
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I think Sharpe ratio is an excellent method of distilling system performance down to one number, factoring risk ibto the equation. Personally, the next step I would take would be to find a way to identify outliers in each candidate.
I would have a problem with a system that outperforms others, yet has rare outliers of high loss. The averaging effect of any rating method might tend to disguise a few very bad trades.

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