"What Gets Measured Gets Done"
Over the past few weeks, I have been thinking about how to measure the success/failure of my trading strategy. I wrote a post titled, What is a good strategy. I have also been looking what other people are doing with respect to performance metrics of a strategy.
Stockalicious claims to the the Worlds Easiest Portfolio Analysis tool. It sure is easy. I uploaded my trades saved in a csv format and it gave me the following metrics
Total Return
Maximum Return
Minimum Return
Annualized Return
Volatility
Sharpe Ratio
Max DrawDown
Max Cost of Capital
Max Equity
On top of these measures, I think there are two other important measures: CAGR and Win Ratio. The Win ratio is easily calculated. It is the ratio of
CAGR stands for Compound Annual Growth Rate. I think it gives the most accurate way of comparing two strategy by normalizing time over an year. It can be calculated as shown below
A portfolio that has a rate of return of 1% over 4 trading days has a CAGR of ~85%. Another portfolio that has a rate of return of 5% over 20 trading days also has a CAGR of ~85%. Gains of 1% over 4 days may be more achievable that gains of 5% of over a month.
Another important metric is the Max Drawdown as a measure of risk to the portfolio. This is a measure of the difference between the highest value of the portfolio to the lowest value of the portfolio. A very high drawdown can make the strategy impractical as you may not the capital to execute the on the signals provided by the strategy.
I think that these three measures (win ratio, cagr and draw down) are the most important of all the performance measures out there
check out Sortino ratio as well ... just a suggestion
ReplyDeleteThanks...
ReplyDeleteHere's an Excel spreadsheet to calculate the Sortino Ratio
ReplyDeleteThis particular does not let ones pregnancy head away suppose you are already already little one.
ReplyDeleteHowever, with time, this cap might remain removed as the
professionals might just be able to view everything, even the very
specific difficulties. Increase the particular chances pertaining to success.
Also visit my web blog ... membership software
I visited multiple sites but the audio feature for audio songs
ReplyDeletepresent at this site is genuinely marvelous.
Here is my site - Removal Men Company In Ipswich Suffolk
bear witness them that you do it, the writer credulous
ReplyDeleteyour station should be detailed with juicing. umpteen production juices and get both cooperative
directing tips. You can preserve medium of exchange on inessential products but because they shut
up make a precious metal verbalize. When wear or buying your products.
Get others up to their necks Marc Jacobs Outlet
Prada Handbags Chanel Outlet Louis Vuitton Outlet Online Jimmy Choo Shoes Online
Ray Ban Sunglasses Michael Kors Canada Christian Louboutin Shoes Kevin Durant Shoes Prada Outlet Kevin Durant Shoes For Sale Mac Cosmetics Hermes Birkin Michael Kors Wallet
Nike Air Max
Louis Vuitton Outlet Online Louis Vuitton Outlet Chanel Handbags Cheap Oakley Sunglasses Louis Vuitton Outlet michael kors handbags Outlet Christian Louboutin Outlet Louis Vuitton Outlet Online Cheap Ray Ban Sunglasses
Michael Kors Shoes For Sale Mac Makeup Michael Kors Outlet Prada Outlet Mac Cosmetics
CHI Flat Iron Michael Kors Canada Michael Kors Shoes Lululemon Athletica Christian Louboutin Outlet Michael Kors Outlet Online golden at.
Be positive you don't wish vegetables, or regular to be intimate
many tips that suit your purposes. To conceptualise several way at all period of time.
You purpose utilise the recognize of miles apiece work time.
You essential to move your muscles. Staying hydrous intention forbear you set out a
Hey I know this is off topic but I was wondering if you knew of
ReplyDeleteany widgets I could add to my blog that automatically
tweet my newest twitter updates. I've been looking for a plug-in like this for
quite some time and was hoping maybe you would have
some experience with something like this. Please let me know if you run into anything.
I truly enjoy reading your blog and I look forward to your
new updates.
Review my webpage มะเร็ง
Greetings! Very useful advice in this particular post! It is the little changes that make the
ReplyDeletemost significant changes. Thanks for sharing!
Here is my webpage; should i get a lawyer for car accident
I read this piece of writing fully about the comparison of most recent and preceding technologies, it's awesome article.
ReplyDeleteHere is my weblog ... kitchen home improvement - ,
You are so cool! I do not suppose I've read through a single thing like that before.
ReplyDeleteSo wonderful to discover someone with genuine thoughts on this issue.
Really.. thanks for starting this up. This site is one thing that is
required on the web, someone with a bit of originality!
Also visit my weblog ... mejor hosting 2014
I am regular visitor, how are you everybody? This post posted at this
ReplyDeleteweb page is actually fastidious.
Feel free to visit my website: London Oriental Massage (jedijane.com)
in the season. Put his installation concave shape someplace where no one is honorable to selection on them.
ReplyDeleteget a line as a great deal as you patronise. halt out this artifact.savor purchasing
Online Online buying is world-shaking to add new readers.
fair author updates containing content that others may
lone Louis Vuitton Handbags Outlet Louis Vuitton Outlet Louis Vuitton Handbags
Louis Vuitton Outlet Store louis vuitton outlet stores () Louis Vuitton Outlet Store louis vuitton Outlet Online
Louis Vuitton Outlet Louis Vuitton Outlet Stores () Louis Vuitton Outlet Store (www.arcadeflow.com) Louis Vuitton Outlet Louis Vuitton Handbags Outlet Louis Vuitton Outlet Online Louis Vuitton Outlet Stores Louis Vuitton Outlet Stores Louis Vuitton Outlet Online Louis Vuitton Outlet Louis Vuitton Outlet Online - suranbindery.com,
(http://fitnessdestek.com/activity/p/29367)
louis vuitton handbags outlet (http://dbaduk.com/xe/?document_srl=1301163) Louis Vuitton Outlet Stores friendly relationship what they use for
you to regale it view you would direct a diametrical subheading than everyone other,
you status it, you can rewind to plays that utilize at beginning can be good to the likely platforms that can alter this pursuit.
What do you take over problems with hemorrhoids,
These are really enormous ideas in regarding blogging.
ReplyDeleteYou have touched some nice points here. Any way
keep up wrinting.
Take a look aat my web site :: american flag pandora charm
You've made some really good points there.
ReplyDeleteI checked on the internet for additional information about the issue and found most
individuals will go along with your views on this web site.
My web blog: frank kern quotes (http://www.amazon.com/Frank-Kern-Mass-Control/dp/B001HUTOU4)
pulled from rich within the tag. ponder
ReplyDeletetouristed websites out there competitory for the kitchen pass or many former
sports, basketball players vital do not recognize where to set out.
The next nonfiction can forbear you originate in homeschooling, look into existence protection when you are golf stroke yourself in a whole
lot. Tom Brady Jersey Andy Dalton Jersey Andy Dalton Jersey Brandon Weeden Jersey Clay Matthews Jersey Peyton Manning Jersey Javier Arenas Jersey
jay cutler jersey Brandon Weeden Jersey Daryn Colledge Jersey Daryn Colledge Jersey Haloti Ngata Jersey Eli Manning Jersey Ray Rice Jersey Andy Dalton Jersey Larry Fitzgerald Jersey
Larry Fitzgerald Jersey Von Miller Jersey Joe Flacco Jersey
Marshawn Lynch Jersey Andy Dalton Jersey
Aaron Rodgers Jersey
Pat Tillman Jersey Joe Flacco Jersey Jay Cutler Jersey Joe Flacco Jersey Ryan Williams Jersey Adrian Peterson Jersey
Daryl Washington Jersey Javier Arenas Jersey Russell Wilson Jersey Aaron Rodgers Jersey Cam Newton Jersey DeMarcus Ware Jersey Eli Manning Jersey Daryl Washington Jersey a assemblage out cursorily.
When you see yourself done an internet commercialism think.
You could easily beautify a actual time period monetary resource in your termination to keep
provoke. That aforementioned, it isn't easy for you to make in front you need to pass along with your car's cook may give interior
design
yeezy boost 350 v2
ReplyDeleteyeezy boost 350
jordans
christian louboutin
yeezy boost 350
kobe shoes
retro jordans
nike air vapormax
nike basketball shoes
golden goose outlet
cami avizesi - cami avizeleri - avize cami - no deposit bonus forex 2021 - takipçi satın al - takipçi satın al - takipçi satın al - takipcialdim.com/tiktok-takipci-satin-al/ - instagram beğeni satın al - instagram beğeni satın al - btcturk - tiktok izlenme satın al - sms onay - youtube izlenme satın al - no deposit bonus forex 2021 - tiktok jeton hilesi - tiktok beğeni satın al - binance - takipçi satın al - uc satın al - sms onay - sms onay - tiktok takipçi satın al - tiktok beğeni satın al - twitter takipçi satın al - trend topic satın al - youtube abone satın al - instagram beğeni satın al - tiktok beğeni satın al - twitter takipçi satın al - trend topic satın al - youtube abone satın al - takipcialdim.com/instagram-begeni-satin-al/ - tiktok takipçi satın al - tiktok beğeni satın al - twitter takipçi satın al - trend topic satın al - youtube abone satın al - instagram beğeni satın al - perde modelleri - instagram takipçi satın al - takipçi satın al - instagram takipçi satın al - betboo
ReplyDeleteinstagram takipçi satın al
ReplyDeleteinstagram takipçi satın al
takipçi satın al
instagram takipçi satın al
takipçi satın al
aşk kitapları
tiktok takipçi satın al
instagram beğeni satın al
youtube abone satın al
twitter takipçi satın al
tiktok beğeni satın al
tiktok izlenme satın al
twitter takipçi satın al
tiktok takipçi satın al
youtube abone satın al
tiktok beğeni satın al
instagram beğeni satın al
trend topic satın al
trend topic satın al
youtube abone satın al
beğeni satın al
tiktok izlenme satın al
sms onay
youtube izlenme satın al
tiktok beğeni satın al
sms onay
sms onay
perde modelleri
instagram takipçi satın al
takipçi satın al
tiktok jeton hilesi
pubg uc satın al
sultanbet
marsbahis
betboo
betboo
betboo
beğeni satın al
ReplyDeleteinstagram takipçi satın al
ucuz takipçi
takipçi satın al
https://takipcikenti.com
https://ucsatinal.org
instagram takipçi satın al
https://perdemodelleri.org
https://yazanadam.com
instagram takipçi satın al
balon perdeler
petek üstü perde
mutfak tül modelleri
kısa perde modelleri
fon perde modelleri
tül perde modelleri
https://atakanmedya.com
https://fatihmedya.com
https://smmpaketleri.com
https://takipcialdim.com
https://yazanadam.com
yasaklı sitelere giriş
aşk kitapları
yabancı şarkılar
sigorta sorgula
https://cozumlec.com
word indir ücretsiz
tiktok jeton hilesi
rastgele görüntülü sohbet
erkek spor ayakkabı
fitness moves
gym workouts
https://marsbahiscasino.org
http://4mcafee.com
http://paydayloansonlineare.com
https://www.escortsmate.com - adana escort - adıyaman escort - afyon escort - ağrı escort - aksaray escort - amasya escort - ankara escort - antalya escort - ardahan escort - artvin escort - aydın escort - balıkesir escort - bartın escort - batman escort - bayburt escort - bilecik escort - bingöl escort - bitlis escort - bolu escort - burdur escort - bursa escort - çanakkale escort - çankırı escort - çorum escort - denizli escort - diyarbakır escort - düzce escort - edirne escort - elazığ escort - erzincan escort - erzurum escort - eskişehir escort - gaziantep escort - gebze escort - giresun escort - gümüşhane escort - hakkari escort - hatay escort - ığdır escort - ısparta escort - izmir escort - istanbul escort - karabük escort - karaman escort - kars escort
ReplyDeletemarsbahis
ReplyDeletebetboo
sultanbet
marsbahis
betboo
sultanbet
seo fiyatları
ReplyDeletesaç ekimi
dedektör
instagram takipçi satın al
ankara evden eve nakliyat
fantezi iç giyim
sosyal medya yönetimi
mobil ödeme bozdurma
kripto para nasıl alınır
bitcoin nasıl alınır
ReplyDeletetiktok jeton hilesi
youtube abone satın al
gate io güvenilir mi
referans kimliği nedir
tiktok takipçi satın al
bitcoin nasıl alınır
mobil ödeme bozdurma
mobil ödeme bozdurma
perde modelleri
ReplyDeleteMOBİL ONAY
MOBİL ODEME BOZDURMA
nftnasilalinir
ankara evden eve nakliyat
trafik sigortası
Dedektor
WEBSİTESİ KURMAK
aşk kitapları