Select Net Profit

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Select Net Profit

Berichtdoor Paul M » ma 28 apr 2003, 11:09

Wie kan mij aan het volgende helpen,Select Net Profit,RINA Index ,Sharpe Ratio en Maximum Drawdown . ?
Als aanvulling op een Report.

Select Net Profit This figure artificially adjusted the system?s results by removing all positive
and negative outlier trades. The final figure presents a net profit devoid of
aberration trades. Systems that are heavily dependent upon outlier trades
will have dramatically different select net profit results than the systems
that do not. A trade is considered to be an outlier if it?s profit/loss is
greater than three standard deviations away from the average. A trader
may also want to pay attention to whether or not the model is attempting
to systematically capture returns from ?outlier? or rare events when using
this information to make value judgments about systems.

RINA Index This proprietary index combines select net profit, time in the market and
drawdown calculations into a single reward risk ratio. The larger the
number, the more efficient the system. This performance measure is a
trade-based statistic as opposed to equity based measures of
performance such as the Sharpe Ratio.

Sharpe Ratio Average annualized monthly returns (in %) minus the risk-free rate
(interest rate setting) divided by the standard deviation of monthly returns.
The higher the number, the greater the return in relation to variability of
returns. Typically, Sharpe Ratios above one are considered to be
indicative of good performance.

Maximum Drawdown The largest intra-day drawdown experienced by the system on a single
closed-out trade. This version of drawdown measures the open to the
lowest unrealized low of the trade, based on a long position and reversed
for a short position. This number is expressed as both a percent and an
absolute dollar value.

Groetjes Paul
Paul M
 
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Geregistreerd op: vr 13 dec 2002, 23:21

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