Suppose you have two strategies
Strategy 1 will give returns like this
HPer | 14 |
---|---|
AvgRet | 0.318182022 |
MaxRet | 11.18390805 |
MinRet | -0.73469389 |
MedianRet | 0.083076829 |
StDevRet | 1.180672961 |
Where HPer = Holding Period i.e. you have to hold the investment for 14 Weeks
AvgRet is 31.8% it means if you follow the signals from this strategy in the long run your mean return is 31.8%
MaxRet is 1118% meaning maximum on any signal you can expect 11.18x returns in HPer i.e. 14 weeks
MinRet is your max loss on any signal in this case is 73.4%
MedianRet is from all the signals generated half of them will give above 8.3% return
StdDevRet is the standard deviation of all the returns generated from the calls/signals generated.
Strategy 2 will give returns like this
HPer | 9 |
---|---|
AvgRet | 0.236211015 |
MaxRet | 4.806122653 |
MinRet | -0.985243903 |
MedianRet | 0.037593985 |
StDevRet | 0.797247246 |
Here Holding period is 9 weeks with average return in 9 weeks is 23.6% and Maximum Expected return from any signal is 480% and max loss is 98% and Median Return is 3.7% and Standard Deviation of Return is 0.79
Given these two strategies which one would you go with and why?