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?

  #6 (permalink)

Luxembourg, Luxembourg
 
Trading Experience: Advanced
Platform: TWS
Broker/Data: Interactive Brokers
Favorite Futures: Stocks
 
Posts: 491 since May 2012
Thanks: 1,641 given, 1,148 received

Cool to see someone still referencing the Tradingblox website - lots of useful info to be found there.

I personally like MAR since it gives me a decent reflection of maximum pain and the expected gain. However, it can punish one severely if there is only one large drawdown and all other drawdowns are much smaller. Of course, the largest drawdown may still be coming, which will then again influence the MAR.

Once of the big downsides of this type of performance measuring is that performance changes with various start/end dates. A system that ends in a big drawdown when testing stops could be the one that outperforms all other systems over the next year, but when the decision needs to be made which system to use, its performance numbers will be rather poor.

Regarding your two favourites, Sharpe ratio also penalises upside volatility. If you have stops in place, then perhaps Sortino would be a better measure of performance.

Regarding the removal of outliers, I would say you do so at your own risk. Unless you understand why the outliers occurred and you can accurately assess that they won't happen again you could be understating the risk of your system.

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