December 2011 – Quanting Dutchman

Performance Metric: Pessimistic Gain/MDD

30/12/2011 by admin

As I have gained more experience in backtesting strategies, I have come across various performance metrics. Some of them are provided in the standard AB backtest report (e.g. Calmar ratio: CAR/MaxDD), some of them I have picked up and added to by Custom Backtest logic (e.g. David Varadi’s DVR). I have noticed that I have … Read more

Performance Summaries updated

26/12/2011 by admin

The strategies page has been updated with the out-of-sample results for the 3 strategies that have been published. Below the summary picture, there is a link to a detailed report-file containing equity chart, performance table, SPC charts and list of trades. The three strategies did not fare that well during this year. The main reason … Read more