Category: Strategy Performance Measurement
Setting up Profit Target or Revenue Target
Setting up Profit Target of trading system depends upon CAR/MDD of strategy, account margin and...
Strategy Performance Measurement Ratios
Sharpe Ratio A return/risk measure developed by William Sharpe. Return (numerator) is defined as the...
Averages for Performance Measurement
The 5 kinds of averages used for performance measurement are given below: Average Return (Mean)...
Measuring Profitability of Strategies
In this article we will discuss the basic and most important parameters for measuring profitability...
Skewness in Equity Curve
the Skewness in the Equity Curve of a strategy- whether backtested or real- is an...
Omega Ratio for Performance Measurement
The Omega Ratio is used for analyzing the performance data which includes a large numbers...
Strategy Profitability Estimators
Details and use on the following estimators will be updated soon. * Number of trades...
Volatility Estimators
Volatility estimators are metrics which try to measure/reflect the volatility changes. The calculations on advanced...