ml-ai-agents-py/agents/strategy_workflow/strategy_metrics.md

trading strategy metrics

• net pnl (net profit and loss): how much money an algorithm makes (positive) or loses (negative) over some period, minus trading fees
• alpha nad beta
• shape ratio: the excess return per unit of risk you are taking (return on capital over the standard deviation adjusted for risk; the higher the better).
• maximum drawdown: maximum difference between a local maximum and a subsequent local minimum as an another measure of risk.
• value at risk (var): how much capital you may lose over a given time frame with some probability, assumong normal market conditions.