trading strategy metrics

MEV_and_trading/strategy_metrics/README.md

@@ -0,0 +1,72 @@
+## trading strategy metrics
+
+<br>
+
+### tl; dr 
+
+* metrics to optimize when developing trading algorithms
+
+<br>
+
+---
+
+### net profit and loss (net PnL)
+
+<br>
+
+* how much money an algorithm makes and loses over a period, minus trading free.
+
+<br>
+
+---
+
+### alpha and beta
+
+<br>
+
+* **alpha**: how much better, in terms of profit, is the strategy compared to an alternative risk-free investment.
+* **beta**: how volatile the strategy is compared to the market.
+
+<br>
+
+----
+
+### sharpe ratio
+
+<br>
+
+* measure the excess return per unit of risk you are taking.
+* it's the return on capital over the standard deviation adjusted for risk.
+
+<br>
+
+---
+
+### maximum drawdown
+
+<br>
+
+* maximum difference between a local maximum and the subsequent local minimum as a measure of risk.
+
+<br>
+
+----
+
+### value at risk (VaR)
+
+<br>
+
+* risk metric that qualifies how much capital is at a loss over a given time frame with some probability (assuming normal market conditions).
+
+<br>
+
+---
+
+
+
+
+
+
+
+
+