I'm backtesting some algorithmic trading strategy based on the buy/sell signals:
To validate the strategy performance I compare it against the buy-and-hold strategy of the same asset and calculate the following metrics:
- the strategy total return
- the strategy Calmar/Sharpe ratios
- the strategy trades win/loss ratio
First of all, I want to add another metrics based on the trades win/loss positions. For example, I assume that the following trades (1
-win, -1
-loss):
1,-1,1,-1,1,-1
are better than these trades:
1,1,1,-1,-1,-1
Second, I would like to replace all these ratios with 1 generic metric, if such exists.