Statistics in trading
Used for trading strategy evaluation in the Terminal application.
Status
Install-Package Estimator
Ratios
- CAGR - compound annual growth rate
- Edge ratio or E-Ratio - ratio between MFE and MAE
- Kestner ratio or K-Ratio - deviation from the expected returns curve
- MAE - maximum adverse excursion or maximum unrealized loss
- MFE - maximum favorable excursion or maximum unrealized profit
- MAR ratio - minimum acceptance return or a gain-to-pain ratio between returns and max loss
- LR Correlation - correlation between a series and its linear regression
- Sharpe ratio - reward to risk ratio for a selected period
- Sortino ratio - reward to risk ratio for a selected period measuring downside
- Standard Z-Score - probability of the losing or winning strikes
- Sterling ratio - ratio between returns and average loss