Hi All, I have several strategies but want to do a real job measuring them. I am familiar with the basic measurements (wiki level explanations), but want to get a more holistic picture of: How to use them in combination. How they play off each other. How to apply them for different types of strategies. When specific ones are not applicable. I was hoping for a college level or professional book that is not pure math, but more of a 101 level introduction. Thanks in advance. PS: Current strategies that I want to review are "scalping" 3-12 ticks 2-4 times a day on ES.
Just be very careful on portfolio optimization of your strats. Because this can easily led to overoptimization is my experience. Usually it leads to curve fitting with no good results going walk forward. But of course looking at the overall portfolio statistics makes sense. But you need to be very sensible when it comes to filtering, selection and optimization here. My two cents. (And usually the embedded software should deliver all kind of measurements here with instructions on them included in the manual.) Your most important measurement is your drawdown, whether it is on the portfolio or individual strategy or within the trade as e-ratio or edge ratio here, which is MFE/MAE or how much it went in favor and against you on the average trade. More info here https://tradingtact.com/edge-ratio/
I suggest checking out books like "Trading Systems" by Jaekle and Tomasini or "Quantitative Trading" by Chan. These resources offer a college-level introduction with practical insights, minus heavy math.