In some situations, e.g testing the value of individual signals to be built into an ensemble method, it can be a bit too early to implement trading logic for the strategy needed to do a standard portfolio-based backtest. What are some metrics to use at this stage? I'm currently using average index adjusted percent change over the next $k$ days as one of mine, for example.

  • $\begingroup$ I agree that percent change over next k days is a good single measure. I also like to graph the percentage change over next j days for j=1 to k. (Gives some idea how long to hold the trade). $\endgroup$ – noob2 Aug 7 '19 at 11:56

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.