Strategy Opinion/Feedbac

Hi, so I am backtesting a trend following strategy with a few parameters. The backtest is on data between 2012 and 2022.

The result of this strategy is:

  • CAGR: 16% vs 12% given by Nifty

  • Max Drawdown: 21% vs 38% of Nifty

  • Sharpe: 1.05 vs 0.76 of Nifty

  • Winrate: 31%

While I feel the strategy maybe decent, I wanted to know if I should aim for a higher win rate. Ideally I feel more comfort with a 38-40% win rate or if this win rate is within acceptable range for a trend following strategy.

How could you aim for a high win rate with the strategy, will you change something in the strategy?

Maybe, for instance increasing my stop distance from entry point would give me lower size but it might increase the win rate. It may also have an impact on the end pnl.

Yes, there will be a few things that can be changed.

But if you are satisfied with 16% return with 31% win rate, and if the strategy has worked good, then why change it?

If the change in win rate also reflects in the increase of the return, then okay.

Fair, thanks.