- 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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**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

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