Seeking feedback on my rules-based system

nooby_mcnoob said:
Two kinds of R^2 I look at lately: in sample, out of sample.

I guess you could measure R^2 against a hypothetical profit curve. But you kind of have to know what that "should" look like in order to have any error. Using tmax,pmax seems biased towards assuming your profit curve is correct.
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Actually, I think you could do this. Assuming an annualized estimated return, for example. Is that what you do? I would probably want to loop in someone smarter than me to help you with this.

Maybe standard ratios like in-sample sharpe ratio vs out of sample sharpe ratio?
 
There's definitely some spread on your profit curves...but I'd probably take a flyer on a strategy with a 4/11 chance of returning 200% YOY!

When you see those profit curves, what are your conclusions about these strategies?
 
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