evaluation parameters
Author: quane
Creation Date: 9/25/2009 7:52 AM
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quane

#1
I am trying to set up a framework for analysis of trading strategies, mainly intraday strategies. Which are the most common and useful parameters and statistics one use to analyze and benchmark against other strategies?

something to get you all started:

result
standard deviation (on result)
max draw down
max volume
% winning trades
number of trades


fill in..
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Cone

#2
Just take a look at the Performance Visualizer to give yourself even more ideas.
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Eugene

#3
Furthermore, one can give different weights to parameters and statistics to create more advanced, truly custom benchmarks.