Apple Today

Source: Investopedia Market Sum

Trading carries a high level of risk, and may not be suitable for all investors. You should never invest money that you cannot afford to lose.

## Friday, 4 January 2019

## Tuesday, 4 December 2018

### Strategy testing

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

###
**2. 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:

The risk-free* rate of return

* 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

- Sharpe Ratio = (Total return - Risk-free return) / SD

The risk-free* rate of return

*SD*= the portfolio's standard deviation, a measure of risk* 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

Realised historical return is used to calculate

**ex-post**Sharpe ratio while**ex-ante**Sharpe ratio employs expected return.### 3. Ulcer Index & Ulcer Performance 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).

http://www.tangotools.com/ui/ui.htm

The Ulcer Performance Index (known also as Martin Index) is calculated as follows:

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).

http://www.tangotools.com/ui/ui.htm

The Ulcer Performance Index (known also as Martin Index) is calculated as follows:

- SumSq = 0

MaxValue = 0

for T = 1 to NumOfPeriods do

- if Value[T] > MaxValue then MaxValue = Value[T]

else SumSq = SumSq + sqr(100 * ((Value[T] / MaxValue) - 1))

- UPI = (Total return - Risk-free return) / UI

## Saturday, 24 November 2018

## Friday, 23 November 2018

### Skin in the Game

Incerto is a four book bundle written by Nassim Nicholas Taleb

- Antifragile
- The Black Swan
- Fooled by Randomness
- The Bed of Procustes

Nassim Nicholas Taleb's landmark Incerto series is

*an investigation of luck, uncertainty, probability, opacity, human error, risk, disorder, and***decision-making in a world we don’t understand**.## Wednesday, 17 October 2018

## Thursday, 8 February 2018

### Waiting for a recovery in BTC

Since BTC
was at 20000$, because of the tail risk created by the previous
parabolic growth, a huge swing to drop it 50% (to 10k) was expected, as
last 3 dips in BTC were around 50% each time. But it happened with a large delay, 1 month later. That made Bitcoin lose its strength and enter in a wide range where trend became uncertain. Bulls rejected the support level at 10000$ and BTCUSD was going up for a while. Finally 9500$ support level broke-down and BTC found a strong support only at 6000$.

Good news it that this correction discharged tensions created by the exponential growth tendencies, but first I expect to hit a resistance

Good news it that this correction discharged tensions created by the exponential growth tendencies, but first I expect to hit a resistance

**somewhere below 12000$**.### Short: Brent Oil going down

On short term, the Brent Crude Oil price started a possible trend reversal to the downside, after hit a hard resistance at 70$. At least on short term the downtrend is visibile. We have to wait it to break-down the 64$ support level.

**Disclaimer:**I am/we are short Brent Oil.
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