Reference:
JoinQuant
Total Returns | Total Annualized Returns | Benchmark Returns | Benchmark Annualized Returns |
---|---|---|---|
Alpha | Beta | Sharpe | Sortino |
Information Ratio | Algorithm Volatility | Benchmark Volatility | Max Drawdown |
Downside Risk | Winning Ratio | Daily Winning Ratio | The Profit and Loss Ratio |
1. Total Returns
2. Total Annualized Returns
3. Benchmark Returns
4. Benchmark Annualized Returns
5. Alpha
if
α>0,
the strategy gains excess returns.
if
α=0,
the strategy gains general returns.
if
α<0,
the strategy gains lower than benchmark returns.
6. Beta
if
β>0
, the strategy is in opposition direction to the benchmark.
if
β=0
, the strategy and benchmark are no related.
if
0<β<1
, the strategy is in same direction to the benchmark, but smaller range of movement.
if
β=1
, the strategy is in same direction to the benchmark, and same range of movement.
if
β>1
, the strategy is in same direction to the benchmark, but bigger range of movement.
7. Sharpe
How much excess returns will be given by per unit of total risk?
8. Sortino
How much excess returns will be given by per unit of downside risk?
9. Information Ratio
Measure the excess returns be given by per unit of excess risk.
10. Benchmark Volatility
11. Max Drawdown
12. Downside Risk
13. The Profit and Loss Ratio