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Statistics for Backtesting

  1. Hello,
    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?

    Thanks
     
  2. 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).