I like to look at MAR Ratio and Ulcer Performance Index. Then I check correlations in the whole portfolio.
One Single "Tie-Breaker" Metric
- Thread starter TradersRUs
- Start date
Thanks. Both of those seem to follow the net profit for these 2 strategies (in terms of being better when the net profit is higher), so limited use as a tie-breaker.
What is the opinion on "Risk of Ruin"? At 10% and 25%, one strategy seems to be (at least somewhat) consistently ahead of the other even in those tests when its net profit is lower (in most cases). Any downsides of using Risk of Ruin as the tie-breaker?
It seems like you are assuming that the "back testing" means you are done testing and therefore are ready to go live. There is a ton of additional testing to be done. Back testing probably only represents 15% of the testing needed.
Much of the additional testing need to be done live.
Do both with 10% of the intended allocations to continue your testing. If you don't know what to test live, then the strategy and tactics are still partially defined.
Much of the additional testing need to be done live.
Do both with 10% of the intended allocations to continue your testing. If you don't know what to test live, then the strategy and tactics are still partially defined.