When faced with a black box trading strategy with extensive historical data available, how would one select/construct a representative benchmark?
As a trivial example, when a strategy historically consists only of long trades on tech stock, the Nasdaq Composite index might be a suitable benchmark.
What about benchmarks for strategies that do not exhibit such clear tendencies in the types of trades they perform?
I can imagine constructing a composite benchmark would be appropriate. Which guidelines/ frameworks/methodologies are applicable?