🎯 What Should You Optimize in Backtesting?
StatsEdgeTrading
Backtesting a strategy is essential, but what exactly should you optimize for? Is it raw returns? Win rate? Drawdowns? This week’s episode of Align Your Own Pockets takes a deep dive into a deceptively simple question that unravels a much deeper conversation.
🔍 Michael and Dave unpack:
Why “max profits” is often not the best answer.
The power of a smooth equity curve for real-world trading.
When win rate might matter—and when it absolutely doesn’t.
How equity curve shape can reveal more than metrics like Sharpe or Sortino.
Dave’s unique “equity curve quality” metric and how it guides his own trading decisions.
They also explore how to interpret multiple strategies together, not in isolation, and the psychological toll of different system types—especially trend following vs. mean reversion.