Pair Trading Lab Helpdesk & Forum

Pair Trading => Good & Bad Pairs => Topic started by: steven fastuca on February 11, 2015, 01:16:23 pm

Title: system score vs. CAGR/ MAXDD
Post by: steven fastuca on February 11, 2015, 01:16:23 pm

Im curious to why you believe the system score (CAR *(R^2)^3) is a better fitness measure than Cagr/maxdd?

I understand that it would overweight systems with better CAGRs but wouldnt it discount large MFE (favorable excursions?)

I would love any input, literature, or explanation of this

thanks!

A

Title: Re: system score vs. CAGR/ MAXDD
Post by: admin on February 11, 2015, 02:02:37 pm

Hello,

actually we don't say it is any better. We like the CAGR+MaxDD and CAGR+R² the most.

But these are combinations (vectors) of measures, we were also in need of having some single measure (single number) to cover both system performance and profit distribution over time. And this is why we came with the system score.

We use different measures like Sharpe Ratio, too.

There is no literature because we came with this concept ourselves. It is basically a CAGR weighted by equity shape/ profit distribution. Time will show if it is useful or not  :)

Title: Re: system score vs. CAGR/ MAXDD
Post by: offpista on February 14, 2018, 10:06:53 am

How do you calculate system score?

thanks