What Metrics Should You Be Optimizing For?
By Dave Mabe
In this week's episode of Line Your Own Pockets, we discuss which metrics to use to evaluate trading strategies.
There's no shortage of these - just look at the default report in an Amibroker backtest - there are dozens!
Topics covered:
Why it makes no sense to optimize on just one metric
If you had to choose one "metric," make it the equity curve.
There is no perfect set of metrics, just like there's no perfect trading strategy
Which metric gets our vote as the most overrated (hint: it's not win rate)
Optimize for an easier trading life rather than maximum return
And much more...
There's something for everyone in this one.
-Dave
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