This category contains 2 posts

Calculating Realistic Strategy Returns

In researching different trading strategies, you will come across simplified reference implementations, whereby your position in an asset is simply the price at a given point in time. Price returns can then be calculated based these prices, which can then be fed into a further calculation such as the Sharpe ratio or other risk-adjusted performance … Continue reading »

Visualising Strategy Drawdowns

Along with the Sharpe Ratio, the drawdown of a trading strategy is one of the most common indicators you will see used to evaluate its performance. The drawdown is simply the decline in value of a strategy at a point in time since a previous high. It's important as it gives you an indication of … Continue reading »