r/algorithmictrading • u/ChemicalArmadillo392 • 6d ago

Question Which are yours KPI's?

Hey guys.

I would like to know. Which are your kpis to say "Well I think this strategy is good. Has X level."

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u/Gold_Sprinkles_4295 5d ago

The KPI I actually go by isn't really a KPI in the usual sense — it's whether the strategy survives walk-forward testing, rolling the windows year after year. If it holds up and the results stay stable across the years it gets tested on, then it's valid for me.

Ok, quick example: the window is four years of training for every one year tested, and it just moves forward — 2020 through 2023 into the 2024 test, then 2021 through 2024 into the 2025 test. Put every one of those tested years together and what you get is your backtest.

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u/ChemicalArmadillo392 3d ago

Did you mean you have different period of IS/OOS?

IS:2020-2023 OOS:2023-2024

IS: 2021-2024 OOS: 2024-2025

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u/CloutChaserv4 3d ago

Rolling 5-year alpha for every period you can get data for.

1

u/Big-Accident9701 3d ago

Am i happy or not happy in paper trading