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10 lines
622 B
Markdown
10 lines
622 B
Markdown
## trading strategy metrics
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<br>
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* **net pnl (net profit and loss):** how much money an algorithm makes (positive) or loses (negative) over some period, minus trading fees
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* **alpha nad beta**
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* **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).
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* **maximum drawdown:** maximum difference between a local maximum and a subsequent local minimum as an another measure of risk.
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* **value at risk (var):** how much capital you may lose over a given time frame with some probability, assumong normal market conditions.
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