Benchmarking trading systems

Discussion in 'Strategy Development' started by dom993, Mar 5, 2013.

  1. dom993

    dom993

    It is common practice in most industries to benchmark oneself against other companies, and that makes a lot of sense.

    How can this be done for trading, in particular benchmarking the performance of automated trading systems?

    I know there are tons of systems on Collective2 and at Stricker that can be used to that effect, what else (in particular, more "professional" systems, by this I mean systems developed & used by professional traders / hedge funds)

    Thanks in advance
     
  2. I think the standard benchmark is the S&P... depending on what you trade you would benchmark against how that asset class performed in a simple buy-hold scheme... if you cant beat buy-hold, then your system clearly underperforms...
     
  3. Try the new edge STTI as a benchmark--- but my primary concern would be making money, not benchmarking. surf
     
  4. kut2k2

    kut2k2

    System Performance Score
     
  5. dom993

    dom993

    surf: thank you ... the performance displayed by that index is BE or negative year after year from 2009 ?!

    kut2k2: the definition of a new performance metric doesn't do any good in terms of benchmarking ... what's needed for benchmarking is performance figures from actual systems.
     
  6. Yeah, it sucks but its the only index in the short term CTA niche--- trend following CTA index is also weak---- flat post 2008---

    This is one of the reasons I take the "elite traders" claims of greatness with a grain of salt.

    surf
     
  7. kut2k2

    kut2k2

    If the current performance standards suck (and they do), why cling to them?

    Tradition for the sake of tradition is silly. The Sharpe ratio is, pardon my bluntness, one of the shittiest statistics ever devised yet people cling to it just because it's traditional.

    Time for a fresh look at performance scoring, then and only then does benchmarking make sense.