Evaluating strategy performance

[skellington]

Hi,

Given two strategies with this data:

strategy A B
cum profit%: 132% vs 80%
sharpe ratio: 0.68 vs 0.80
max dd: -7.39% vs -9.31%


which one is better?

Strat A has a higher total profit and lower max dd but lower Sharpe ratio.
Strat B has a lower total profit but higher max dd and lower Sharpe ratio.

Should I be chasing Sharpe? or cum profit and minimum max dd? I was suprised to see in this case that the higher Sharpe ratio actually had higher max dd (though I guess it implies that the average dd is less)

Thanks!

[NinjaTrader_Ray]

NinjaTrader does not have a response on this however, maybe some one may offer an opinion.

[Ralph]

Should I be chasing Sharpe? or cum profit and minimum max dd? I was suprised to see in this case that the higher Sharpe ratio actually had higher max dd (though I guess it implies that the average dd is less)

Calculation of sharpe ratio implies standard deviation (SD). In your example the series with the lower max.DD results in a higher value for SD. I think it is possible. I suspect strategy B is less volatile but contains at least one big DD.

Regards
Ralph