Trading performance measurement. The necessary tools and metrics.
Presenting the necessary tools to evaluate your trading.
One particular question arises after applying a trading strategy is, how good is it? The goodness metric is reflected through three characteristics:
- Consistent low-volatility returns;
- Stable accuracies through time;
- Economically intuitive robust features;
We will discuss the three characteristics and present some performance and evaluation metrics. After all, we do not want to get excited about a strategy that outperformed during a certain period of time by luck, we have to make sure that it is valid for different periods of time and different values.
I have just published a new book after the success of New Technical Indicators in Python. It features a more complete description and addition of complex trading strategies with a Github page dedicated to the continuously updated code. If you feel that this interests you, feel free to visit the below link, or if you prefer to buy the PDF version, you could contact me on Linkedin.
