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Combine drawdown with other performance metrics

Hi,

I have the problem that the max. drawdown metric doesn't really tell me much about my long-only strategy since the max. drawdown always occurs in 2007/08 and the other drawdowns (which might have been quite significant as well) are not reflected. I am not sure if it makes sense to look at the mean drawdown since there are so many small drawdowns that would be skewing the mean drawdown. So, maybe averaging the drawdowns above a threshold makes more sense.

The second problem is that I want to combine Sortino (or Sharpe) with my drawdown metric into one so I can more easily compare a bunch of strategies.

Suggestions welcome.
Thanks!
Max

1 response

Max, you can run a tearsheet on your strategy to see more detailed performance and risk analyses. It'll have more information about your drawdown periods, their duration, and depth.

Introduction: https://www.quantopian.com/posts/new-feature-comprehensive-backtest-analysis-pyfolio
How to run a tearsheet: https://www.quantopian.com/research/Tutorials%20and%20Documentation

Cheers,
Alisa

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