Backtest Metric

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
Post Reply
bluefightingcat
Roundtable Knight
Roundtable Knight
Posts: 349
Joined: Fri Nov 20, 2015 3:09 pm

Backtest Metric

Post by bluefightingcat » Wed Jan 13, 2016 5:45 am

When running your backtests which metric do you use to compare backtests? CAGR, MAR, Profit Factor? And why?

I am kind of new to this and I'm trying to figure out which metric works best. My understanding is that for example the MAR is only valid if all your backtests have the same timeframe. CAGR again depends on how much money you have initially and what your leverage is.

Of course if you compare the same timeframe for all backtests and the same initial equity, then these things should not be an issue.

Tim Arnold
Site Admin
Site Admin
Posts: 8537
Joined: Tue Apr 06, 2004 1:41 pm
Location: Boston, MA
Contact:

Re: Backtest Metric

Post by Tim Arnold » Wed Jan 13, 2016 8:07 am

It's a good question and worth discussing.
To find existing discussions, search the forum for the key word "goodness", as we often use Goodness Measure to define this metric.

Post Reply