Statistics for Backtesting

Discussion in 'General Discussion' started by Bjorn, Mar 16, 2016.

  1. Bjorn

    Bjorn New Member

    I'm new to backtesting trading strategies. Any suggesion on which statistics (daily) are good to record in a spreadsheet for evaluation when doing a manual backtest of a strategy over several years?

  2. AKJ

    AKJ Well-Known Member

    For my live trades, I track daily the following stats:

    (1) Index Level
    (2) ATM Put IV
    (3) Put Skew (ATM IV - ATM+100 IV)
    (4) P&L (daily change and since trade inception)
    (5) Delta
    (6) Gamma
    (7) Theta
    (8) Vega

    From these stats, I also try to estimate an attribution of my daily P&L from different sources (Theta, Delta/Gamma, Vega, Steepening/Flattening Skew).

Share This Page

  1. This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
    By continuing to use this site, you are consenting to our use of cookies.
    Dismiss Notice