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?

  #5 (permalink)

Boise, Idaho/USA
 
Trading Experience: Advanced
Platform: Ninja Trader 8
Broker/Data: IB, NinjaTrader Brokerage, Schwab
Favorite Futures: ES
 
Posts: 128 since Sep 2014
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Van Tharp has a system quality number, SQN, designed to make it possible to compare systems. His SQN rewards consistent performance because a system that is consistent and profitable can be ramped. Profitable systems with large swings are much riskier to ramp up your position size due to the increased risk of ruin.

Sharpe ratio is roundly criticized for confusing variability with risk. It is also very popular with the mutual fund industry, therefore it is automatically suspect as possible snake oil.

Let me add because it does not measure market risk just variability. So they imply to customers that it is a risk measure. See how that worked out in the last crash. Your concerns about outliers says you are interested in the deviation in results. Trading systems are hardly ever examples of the normal distribution. Re-read Taleb on fat tails.


Last edited by Trailer Guy; October 17th, 2016 at 08:51 PM. Reason: Clarify thought.
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