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How does it perform on stocks according to the characteristics you would know at trade entry? For example, you're not really gaining insight if you recognize a momentum strategy worked well on stocks that had momentum characteristics during the trade. But you might mean high beta or high volatility stocks. Without more detail I will say that some strategies ...


RE: Sharpe Ratio , Net profit or max drawdown? Definitely not Net profit. It is primitive and suspected to luck or spurious results. To make a choice from the rest of two we need additional information about the risk management - position sizing. Assuming we do not have that info - i would choose Max drawdown, loosing all money is not an option.


Sharpe ratio alone is not, IMHO, a great measure. It measures the slope of a line to the Riskfree rate in a mean-stdev plot. If leverage were free and unlimited, then Sharpes would count more. Many traders look at Sortino ratios (looking specifically at downside stdev), or Calmar ratios (excess return/max drawdown), as more reasonable measures of an ...

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