# How to validate trading strategy performance

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
1,1,1,-1,-1,-1
Second, I would like to replace all these ratios with 1 generic metric, if such exists.

There does not exist a single metric that encompasses all your criteria; but you could simply construct a (linear or non-linear) combination of the measures you like. For the win/loss streaks you describe, you could either look at the absolute maximum drawdown of the cumulative series (1 in the first case, 3 in the second), or look at streaks and penalise streaks of -1s. For instance, in R:
library("NMOF")
drawdown(cumsum(c(1,-1,1,-1,1,-1)), relative = FALSE)$$maximum ##  1 drawdown(cumsum(c(1,1,1,-1,-1,-1)), relative = FALSE)$$maximum

For streaks, look at function rle.