Strategy Performance Measurement

Skewness in Equity Curve

the Skewness in the Equity Curve of a strategy- whether backtested or real- is an important indicator of the stability of the strategy. Would you like to trade a strategy with 99% profitability? This is not very hard to accomplish. As an example, assume a pair trading...

Strategy Profitability Estimators

Details and use on the following estimators will be updated soon. * Number of trades * Profitability * Expectancy * Profit Factor * Percent Profit Factor * Average wins and losses * MFE and MAE * Maximum consecutive losses * Maximum drawdown * Win-to-loss ratio * CAGR...

Volatility Estimators

Volatility estimators are metrics which try to measure/reflect the volatility changes. The calculations on advanced estimators below can be found from literature by the respective authors. Coefficient of Variation (%CV) %CV = (Standard deviation / Mean) x 100% The...