Maximum Drawdown: Reading a Peak-to-Trough Decline

Two accounts finish the year at the same value, built from the same set of returns. One you could have held without much stress. The other spent months trading below…

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Sortino Ratio: Penalising Only Downside Volatility

The sortino ratio is a risk-adjusted return measure calculated as a strategy's excess return over a minimum acceptable return, divided by its downside deviation. The formula in one line is…

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