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Firstly, I suggest you to use more recognized source to study and compute quantitative finance model or indicators; in such case, for instance, you could take as example the following paper as reference. Precisely there, the authors describe some common errors that one can do in computing the Sortino ratio; although surely you did not do any of them, ...


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Yes, you can and this is what you have to do. It will smooth the equity curve and will offer you a better risk-adjusted returns. Of course this is in case you have really different strategies. We are using software called Rightedgesystems for backtesting as it is just great and offers the ability to test multiple trading systems in one.



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