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What is the best source for information on the success ratios of various trading indicators / strategies? I'm interested in the validity of basic moving average cross (trend following) methods, MACD as well as advanced volatility trading measures.
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Alexandre Catarino
QuantConnect/Lean provides the following statistics: Average Loss, Average Win, Compounding Annual Return, Drawdown, Expectancy, Net Profit, Sharpe Ratio, Loss Rate, Win Rate, Profit-Loss Ratio, Alpha, Beta, Annual Standard Deviation, Annual Variance, Information Ratio, Tracking Error and Treynor Ratio.
Sharpe Ratio is an industry standard to evaluate an strategy performance. However, the best evaluator depends on the strategy goal. For instance, if we do not want our strategy to follow the market performance, we would want a low beta.
Did you look at the literature about trading performance? I believe it is a vast one!
Mark Melin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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