Evaluating Equity Curves via Concentration Indexes

Comparing trading systems performances has been traditionally addressed using ratios that allow to get a ranking. The popularity of a ratio depends on its simplicity i.e. on its capability both to be easily computed, and to get results that can be intepreted with reasonably lower efforts. Moreover, the ratio should not depend on the statistical population it is evaluated on, and it should get out pure numbers i.e. a score which is not dependent on any unit of measure. Over the past decades such ideal features have been variously matched by a number of different indexes: [2], [6], [7], [8] [9], [1], and [4] are some examples of ratios that can be built when one takes into account either the annual return of the trading system or a target return, as well as the number of winning trades opposed to the overall number of trades and so on.