Dear Quantopianers,
Is the Benchmark in the best testing S&P 500 performance? Can I benchmark one of my strategy against another of my strategy?
I found that back testing against S&P 500 can be quite confusing. For example, you have a strategy and you implemented your strategy on Apple. You found that you got amazing returns comparing with benchmark. However, if you just buy and hold Apple's stock from 2003 the return would be very amazing anyway, and it doesn't prove how effective your strategy is. How can I use a chosen strategy as a benchmark to compare with my other strategies? Thanks.
-Peter