Strategy Comparison Metrics

Configuration Example

Configuration for strategy comparison metrics uses YAML or JSON format. Key parameters include timeframes, signal thresholds, position sizing rules, and risk limits.

# Example configuration for Strategy Comparison Metrics
strategy:
  name: strategy-comparison-metrics
  timeframe: 5m
  indicators:
    - rsi
    - ema_fast
    - ema_slow
  entry_conditions:
    - rsi_oversold
    - ema_crossover_bullish
  exit_conditions:
    - rsi_overbought
    - stop_loss_hit
  risk:
    max_position_size: 0.02
    stop_loss_pct: 0.015

Common Issues

Common issues with strategy comparison metrics include look-ahead bias in backtesting, overfitting to historical regimes, inadequate handling of exchange downtime, and insufficient logging for debugging.

Performance Metrics

Key metrics include Sharpe ratio, maximum drawdown, win rate, profit factor, and average trade duration. Compare against baseline strategies and adjust parameters based on out-of-sample results.

Risk Considerations

Risk management for strategy comparison metrics addresses position limits, stop loss placement, correlation exposure, and worst-case drawdown scenarios. Regular monitoring prevents drift from intended behavior.

Testing Approach

Testing strategy comparison metrics includes unit tests for signal logic, integration tests for exchange interaction, and backtests against historical data with realistic slippage modeling.