Tag Archives: Performance Metrics

Trimmed performance estimators

This is a quick follow-up on my previous post on Quantile normalization. Instead of removing just the top X quantile of returns/trades when optimizing a strategy’s parameters space, my recent approach has been to remove the top and¬†bottom X quantiles, … Continue reading

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Sharpe Ratio alone is not enough – Part 2

Continuing with the considerations about performance measures, I want to introduce the fitness function I am currently using as well as a simple trick to use it to avoid curve fitting. To use some actual figures as an example, here … Continue reading

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Sharpe Ratio alone is not enough

I want to suspend for now the series of posts regarding volatility (may go back to it some time in the future), and discuss an often overlooked but extremely important topic in developing a trading strategy that works outsample and … Continue reading

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