I don’t know if anyone here follows or reads Laurent Bernut, but here’s a good article he wrote on how he evaluates trading performance. It might be a good tool in the toolbox to use when evaluating systems in your portfolio, or if you’re considering adding a new system.
Regardless of the asset class, there are only two types of investment strategies
Thank you very much for sharing this post. Very interesting. Regards!!!
I know, it’s good stuff.
I downloaded the CSV trade data for a few of the systems I’m subscribed to and calculated the CSR and the Tail Ratio (I also calculated the Tharp SQN while I was at it, although that’s something else altogether).
I was a bit surprised at some of the results. Some of the strategies I thought would rank higher for CSR and TR didn’t, and also vice versa.
I really liked his Stop Loss article too. It explains hella strategy fails around C2.
Good link. Interesting site.