Quantitative analysis of specific projects
1. Return: Key performance indicators are total return and compound annual growth rate (CARG)
2. Decline: The previous highest peak on the strategy or portfolio equity curve
3. Risk: Risk includes many areas, usually referring to the risk of capital loss, such as loss and return volatility
4. Risk/Return Ratio: The core Sharpe ratio is usually the first indicator that institutional investors discuss when discussing strategic performance
5. Trading analysis - previous performance metrics are applicable to all strategies and portfolios, especially win rate, average profit and loss ratio, etc.
Trading Analysis Indicators
l Total Profit/Loss (PnL) : The total PnL directly indicates whether a particular transaction is profitable or not
l Average period PnL average: whether the average PnL performance during the period will generate profit or loss
l Maximum period profit: the maximum period profit generated by this transaction so far
l Maximum period loss: the maximum period loss generated by this transaction so far
l Average period profit: the average value of period profit
l Average period loss: the average loss of all unprofitable periods
l winning period: the count of all winning periods
l Loss period: count of all loss periods
l Winning rate is the percentage of all winning periods and losing periods
Maximum historical retracement : push back at any historical time point in the selected period, and the yield retracement range when the net value of the product reaches the lowest point
The maximum value of degrees. The maximum drawdown is used to describe the worst possible situation after buying a product. The maximum drawdown is an important
For hedge funds and quantitative strategy transactions, this indicator is more important than volatility.