What's the appropriated way to give rating to any trading system?

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What's the appropriated way to give rating to any trading system?

Soul_Master MYFC

posted Mar 3, 2015

I would like to automatically generate score for any trading system based on personal preference. For example, I want system that should has 15% annualized return, less than 20% max drawdown and 2 sharpe ratio. What's the best system that match my criteria?

Some system might has 25% annualized return with 22% max drawdown. Some system might has 10% annualized return with 10 sharpe ratio. Do you have any mathematically idea to give rating to any trading system?

PS. All of my criteria are quite criteria. The selected system might has a bit higher or lower value of any performance metrics.

1 response

I don't think there is an exact solution, you can actually check the current contest here, they have a ranking system for algorithms which when not trying to be gamed may actually work pretty well.
When I do my own ranking I put a lot more weight on draw-down

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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 Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.