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Comparative analysis

Hi,
Is there a way to compare the performance of your own algorithm to that of others just for a comparative analysis?
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Welcome to QC @Anant! We don't have any way to compare strategies at the moment. IMHO the best summary statistics to use for comparison are drawdown, sharpe and absolute/compounding return. These three numbers are relatively easy to read out from the results.
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I understand that, but all these parameters indicate different aspects of evaluation. Isn't there a single number to summarize all, or most components like we have things like f-score in data analytics . I am sorry I am new to this field so do not know much about evaluation metrics used here. I thought relative performance could summarize everything.
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The best equivalent in finance would be sharpe ratio - it is a risk adjusted measure of returns. Even if a strategy only earns 5% per year, if it has a high sharpe ratio you can use leverage to achieve higher absolute returns.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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