Let's say I have a two strategies that each make exactly one trade. Which strategy is better? At a basic level , the one whose trade has the highest TradeProfit is preferred. More money in the end is better.

But wait, this is a back test. We cannot replay the past. We must endeavor to generalize into the future. Therefore the other, more subtle trade outcome metrics begin to matter.

What if both trades have the same or nearly the same TradeProfit, but one has a much higher MAE. I would prefer the one with the lower MAE.

Similarly, what if both trades have the same or nearly the same TradeProfit, but one has a TradeTime of 5days, and the other 1 day. I would prefer the one with the shorter TradeTime, so I can realize my profit faster.

Similarly, what if one had a tighter Stop than the ither? In theory, it was safer, and therefore preferable.

et cetera


How to balance these N objectives against each other is not clear.

Is there such a thing as a unified quality metric for a single trade, which takes into account these factors, so that a large list of a variety of trade options and their outcomes can be ranked by their quality?

Does anyone know, what is the state of the art in this regard?