Benchmark Metrics for a Good Strategy

Discussion in 'Strategy Development' started by vickymatch, Jun 8, 2012.

  1. Hi Guys,

    I am new to this forum. I do some quant modeling on stocks markets and have build some strategies for index. However, I am not sure how to test whether a strategy is robust or not.

    For example, I have one intra-day strategy, which over the course of last 10 years give following stats

    Number of Days Traded : 26%
    Win % : 53.2%
    Reward/Risk ratio: 1.5

    Sharpe Ratio (for 1 year period): 1.65
    Max Drawdown: -8%
    Max Drawdown Duration : 194 trading sessions

    Could anyone please tell how does this start looks like from benchmarking point of view. Also, what are the ideal stats we should look at and if there are any other stats we need to find before making a decision.

  2. jcl


    Sharpe ratio, drawdown and profit factor can give information about the profitability of a strategy, but tell not much about its robustness. The robustness is mostly determined by your optimization and test method - the number of parameters, the ranges, in sample, out of sample, walk forward etc.