We are happy to introduce the Key Performance Indicator by Detlev Matthes. This is an amazing tool to quantify the efficiency of a trading system and identify potential spots of improvement.
Abstract A key performance indicator with high explanatory value for the quality of trading systems is introduced. Quality is expressed as an indicator and comprises the individual values of qualitative aspects. The work developing the KPI was submitted for the 2017 VTAD Award and won first prize.
Introduction Imagine that you have a variety of stock trading systems from which to select. During backtesting, each trading system will deliver different results with regard to its indicators (depending on, inter alia, its parameters and the stock used). You will also get different forms of progression for profit development. It requires great experience to select the “best” trading system from this variety of information (provided by several indicators) and significantly varying equity progression forms. In this paper, an indicator will be introduced that expresses the quality of a trading system in just one figure. With such an indicator, you can view the results of one backtest at a glance and also more easily compare a variety of backtesting results with one another.
If you are interested in learning more about the calculations behind this indicator then I have included a link to the english version of his research paper.
Along with this, we now offer indicator development services. If you are interested in learning more then feel free to reach out to get a quote for your project.
**Please note that we have NOT inputted any real strategy into the code and therefore it is not producing any real value. Feel free to change the code as desired to test any strategy!**
this strategy is the worst, ever. it stucks , the most inneficient code I ever saw
janor123
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What's considered a "good" score?
TechnicusCapital
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@janor123, from my experience. Strategies that are around a KPI value of .5 show potential value. Usually there is some aspect which is holding the strategy back from performing profitability.
Once the KPI gets up to .7, that is showing extremely good performance and efficiency within the equity curve and typically represents a very strong strategy.
As with all metrics, KPI is always changing with every new trade. Tracking this can help identify points where the strategy is gaining/losing efficiency and portfolio management strategies can come into play.
it stucks , the most inneficient code I ever saw