- Profit factor
- Sharpe Ratio
- Ulcer Performance Index
- Compound Annual Growth Rate
- Maximum Drawdown
- Percent Profitable Trades
- Average Win to Average Loss Ratio
- Equity

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**Sharpe ratio**

**Sharpe ratio**is the measure of risk-adjusted return of a financial portfolio. A portfolio with a higher Sharpe ratio is considered superior relative to its peers.

The Sharpe ratio is a ratio of return versus risk. The formula is: (Rp-Rf)/ p

where:

Note that "sharpe ratio" is considering the volatility type of risk, ignoring that treasury notes are not really risk-free but involving other types of risks (inflation, interest rate risk, opportunity costs, etc)

Use Python to calculate the Sharpe ratio for a portfolio

where:

*Rp*= the expected return on the investor's portfolio*Rf*= the risk-free rate of return*p*= the portfolio's standard deviation, a measure of riskNote that "sharpe ratio" is considering the volatility type of risk, ignoring that treasury notes are not really risk-free but involving other types of risks (inflation, interest rate risk, opportunity costs, etc)

Use Python to calculate the Sharpe ratio for a portfolio

Realised historical return is used to calculate

**ex-post**Sharpe ratio while**ex-ante**Sharpe ratio employs expected return.### Ulcer Index

Ulcer index is designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period.

Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement.

Flirting with Models: Looking into the Ulcer Index

Loss at a single point in time (max drawdown) is far less important than how a strategy manages losses over time (UPI).

Flirting with Models: Looking into the Ulcer Index

Loss at a single point in time (max drawdown) is far less important than how a strategy manages losses over time (UPI).