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?
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)
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).