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danielkrizian / strategery

Quant Strategy Specification, Backtesting, Optimization And Statistical Analysis Workflow
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Add more trade stats, plus rolling #19

Open danielkrizian opened 10 years ago

danielkrizian commented 10 years ago

median trade max/avg/median consecutive wining/losing trades trades/day, trades/week, trades/month, trades/quarter subset (by date) trade stats. So a parameter of subset (which could be like subset="2013-01-01/2013-07-22") would enable to get the trade stats only for particular time frame. rolling trade stats (or any other stats) to plot the stats through time (on a rolling basis, used as a backtest rule input - security selection for example)

danielkrizian commented 10 years ago

What is interesting to see is not just biggest losers/winners but also longest/shortest (in bars or time) trades, biggest/smallest MFE/MAE or some other trade based stats like individual trade quality I saw here http://alvarezquanttrading.com/2014/05/19/stops-and-trading-high-vs-low-volatility-stocks/

explained here http://www.tradingmarkets.com/connors_research/how-to-measure-the-individual-trade-quality-of-your-strategy-1582993.html .