by AlgoPro | December 25, 2016 | Strategy Performance Measurement

Setting up Profit Target of trading system depends upon CAR/MDD of strategy, account margin and your risk taking capacity. Its prudent to set a profit target based on facts and figures about the strategy, rather than a whimisical goal. Before we chose a scientific...
by AlgoPro | October 7, 2015 | Strategy Performance Measurement

Sharpe Ratio A return/risk measure developed by William Sharpe. Return (numerator) is defined as the incremental average return of an investment over the risk free rate. Risk (denominator) is defined as the standard deviation of the investment returns. In PerTrac, the...
by AlgoPro | October 7, 2015 | Strategy Performance Measurement

The 5 kinds of averages used for performance measurement are given below: Average Return (Mean) It is calculated by summing the returns for each period and dividing the total by the number of periods. The Average Return does not take the compounding effect of...
by AlgoPro | September 17, 2015 | Strategy Performance Measurement

In this article we will discuss the basic and most important parameters for measuring profitability of a strategy. Number of Trades It is not a profitability estimator per se, but as a starting point, you need sufficient number of trades to arrive any conclusion at...
by AlgoPro | September 16, 2015 | Strategy Performance Measurement

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...
by AlgoPro | September 16, 2015 | Strategy Performance Measurement

The Omega Ratio is used for analyzing the performance data which includes a large numbers of trades, such that the outliers are given minimal weight. The higher the Omega ratio, the better the strategy performance. The Omega calculation involve dividing the returns...
by AlgoPro | September 16, 2015 | Strategy Performance Measurement

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...
by AlgoPro | September 16, 2015 | Strategy Performance Measurement

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...