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?

  #4 (permalink)

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
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Heph333 View Post
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.

Thanks a lot Heph333
To remove outliers on each candidates, do you remove the biggest abnormal positive and negative (both) trades even if they seems legitimate (like I understand if they are cause by some input data abnormally) but do you still remove them when everything looks fair?
thanks
w

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