What if the annual return calculation included exceptional performance from 3 years ago and poor/more volatile/negative returns over the past six months or year; is it a fair basis to make a decision on that strategy?
Wouldn’t the same question apply if a strategy had mediocre performance in the past but, rode through down/sideways/volatile market periods with stellar results? Most investor/traders are looking not just to achieve above average returns but, to obtain diversification of their portfolio in order to provide a hedge with their other holdings/activities.
A time window selectable date range for all reported statistics of a given strategy would be far more informative and empowering. Then, you could opt to see how each performed in up, down, volatile and sideways markets or overall to achieve a more balanced selection of strategies to fit individual subscriber needs.
Comments please.
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I agree with your comment. I especially think it’s important in regard to the maximum draw down statistic. If you have a trading system that started in 2008, you obviously went through an extremely volatile period. To compare the draw down and calmar ratio stats to a newer trading system is not a valid comparison,. They should be compared over similar time periods.
The specific problem with the maximum draw down stat (and it;s affect on the calmar ratio) is that it can never be improved once you have a bad draw down, which could have occurred 7 years ago. It prominently stays on your trading system forever.
My suggestion is to display key stats, such as annualized return, max draw down, calmar ratio, etc, in a table for 1 year, 3 year, 5 year, and all time, much like all of the mutual funds display their returns.
That way everyone could easily compare all of the trading systems results for similar time frames.
Nice suggestion ETFGLOBALTIMER but, I don’t think it will tell you as much as a user-selected timeframe where you could position it directly onto the market condition you would like to compare across strategies.
These days databases can be easily sliced and diced any way a user wants to so, why not just let the user define the framework for their own comparison. There could be a number of standard setups and subscribers could offer their own versions here in the forum
