Another newbie question:
What are some metrics for quantifying an intraday strategy?
E.g. I have been working on an algorithm that in leave-one-year-out back testing
1) triggers a trade on 70% of trading days
2) wins on 75% of the days that it trades
3) averages a price change of 1.2% on the days that it trades (difference between close and open)
4) on the long-side, gives a increase in (un-leveraged) capital of a factor of ~9 in a year
5) produces similar statistics across different exchanges
These stats are blowing my mind, but I'm wondering how to best communicate them.
Are there other, more standard and/or powerful metrics to quantify intraday strategies?
Obviously metric #4 cannot be used for a short strategy, although it is not clear to me how to quantify capital changes with shorting strategies, because you will not actually be buying securities at the low price and selling at the high. I guess you could just pretend that you do...