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Backtest Metric

Posted: Wed Jan 13, 2016 5:45 am
by bluefightingcat
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.

Re: Backtest Metric

Posted: Wed Jan 13, 2016 8:07 am
by Tim Arnold
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.