Performance Metric: Pessimistic Gain/MDD
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