What is the correct way of consolidating performance metrics?

[Michael Reuben Msidada]

What is the appropriate method for aggregating performance metrics? Considering System A with 1000 trades, a 9% drawdown, and a 50% return, and System B with 3000 trades, a 25% drawdown, and a 100% return, both systems having a 4-year backtest period. If these systems were independently trading in the same account, how would one calculate the combined performance metrics? The number of trades is straightforward at 4000, but how would you calculate the combined drawdown and returns in this scenario?

[Fernando Carreiro]

Michael Reuben Msidada: What is the appropriate method for aggregating performance metrics? Considering System A with 1000 trades, a 9% drawdown, and a 50% return, and System B with 3000 trades, a 25% drawdown, and a 100% return, both systems having a 4-year backtest period. If these systems were independently trading in the same account, how would one calculate the combined performance metrics? The number of trades is straightforward at 4000, but how would you calculate the combined drawdown and returns in this scenario?

There isn't really a easy way to combine the metrics, because there is no way to know how one strategy would affect the other.

You also have to take into consideration how the risk calculations and money management is applied, including deposit load, and whether compounding is at play.

They would have to be analysed trade-by-trade in a combined fashion, to really arrive at their final combined metrics.

[Michael Reuben Msidada]

Fernando Carreiro #:

There isn't really a easy way to combine the metrics, because there is no way to know how one strategy would affect the other.

You also have to take into consideration how the risk calculations and money management is applied, including deposit load, and whether compounding is at play.

They would have to be analysed trade-by-trade in a combined fashion, to really arrive at their final combined metrics.

Thats what I was thinking that trade by trade is the most accurate way but theoretically speaking with no consideration of accurance how we can get closer to how it might have been. Let's take Drawdown for example, this is the most important one, can't combine the two?