• Strategy Performance Measurement

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
* MAR Ratio
* Productivity Ratio
* Sharpe Ratio
* Alpha
* Calmar Ratio
* Omega Ratio
* Sortino Ratio
* Sharpe Ratio
* Sterling Ratio
* Treynor Ratio
* upside potential ratio
* Round Turns Per Million
* Average holding time for winning and losing trades
* Allocation Percent
* Monte Carlo Simulations