Hey everyone. I've been doing some coding lately to add additional ways to analyze a trading strategy that aren't included in the most popular trading software packages. This got me thinking and wanting to ask the experienced traders out there, what analysis techniques do you use on a trading strategy to determine if it is a good strategy to work with, or to break it apart to try and determine how to make it better?
I'll give an example what I've been doing... For my intraday systems, I'm been running the strategy and tracking how the trades perform on a Day Type basis, ala Market Profile Day Type definitions. For example, I see how well my trades did on a Normal Day, a Normal Variation Day, a Trend Day, and so on. I can then see what day types the strategy performs well on, and poorly on, then then attempt to tweak the strategy to increase contracts on the days it does well on, and decrease contracts (or turn off) on days it doesn't do well on.
However I'm sure there are more techniques out there, and I'd love to hear about them if you are willing!