Only good solution is to look at the entire equity curve, and even that’s not enough as you need to consider distribution of future equity curves, correlation with other strats, expected behaviour in tails etc.
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Almost like you can’t summarise the performance of a trading strategy into one number. Sharpe has problems and is overused but is fine in its domain of applicability, and everyone knows what it means. Sortino, calmar etc fix some problems but introduce new ones.https://twitter.com/WayneHimelsein/status/1367146025819901953 …
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Thanks. Twitter will use this to make your timeline better. UndoUndo
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I’ve never asked or been asked that in an interview. In investor meetings, sure (and I normally guide the conversation to what I mentioned above i.e. metrics are helpful but you need to understand their limitations and domains of applicability)
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Could not have better said the culminating next step "you can't summarize the performance of a trading strategy into one number." Exactly, thank you. All metrics have +/-, so understand each, and its deficiencies, and apply accordingly, alongside looking outside summary stats.
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You mentioned this in Corey’s podcast and if I remember well, talked a bit about stochastic dominance. Mind sharing your approach bit more on this?
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