*"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

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

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 - ,

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)

perde modelleri

ReplyDeleteMOBİL ONAY

MOBİL ODEME BOZDURMA

nftnasilalinir

ankara evden eve nakliyat

trafik sigortası

Dedektor

WEBSİTESİ KURMAK

aşk kitapları

Good content. You write beautiful things.

ReplyDeletekorsan taksi

sportsbet

vbet

hacklink

sportsbet

vbet

mrbahis

hacklink

taksi

Good text Write good content success. Thank you

ReplyDeletekralbet

bonus veren siteler

kibris bahis siteleri

mobil ödeme bahis

slot siteleri

betpark

betmatik

tipobet

sms onay

ReplyDeletetakipçi satın al

GBC4XA

başakşehir

ReplyDeletebeykoz

gölcük

kütahya

bandırma

AF4Q1T

kıbrıs

ReplyDeletetrabzon

zonguldak

mersin

diyarbakır

UQH

ağrı

ReplyDeleteaksaray

amasya

antep

ardahan

S7TSJİ