Backtest Metric
Posted: Wed Jan 13, 2016 5:45 am
When running your backtests which metric do you use to compare backtests? CAGR, MAR, Profit Factor? And why?
I am kind of new to this and I'm trying to figure out which metric works best. My understanding is that for example the MAR is only valid if all your backtests have the same timeframe. CAGR again depends on how much money you have initially and what your leverage is.
Of course if you compare the same timeframe for all backtests and the same initial equity, then these things should not be an issue.
I am kind of new to this and I'm trying to figure out which metric works best. My understanding is that for example the MAR is only valid if all your backtests have the same timeframe. CAGR again depends on how much money you have initially and what your leverage is.
Of course if you compare the same timeframe for all backtests and the same initial equity, then these things should not be an issue.