compare strategy performance

[Dazz]

FWIW, I am not sure multiple testing error truly applies if you are just making small adjustments as you’re still testing a single hypothesis. In any case, as long as you are making manual adjustments or coming up with priors based on your experience (as opposed to iteration) multiple testing error is unlikely to be relevant.

thank you.

 

[sef88]

Use sharpe & sortino ratio to compare. But be cognizant of the third and fourth moment of your strategies i.e. skewness and kurtosis.