Daily Performance Metrics
This table presents performance metrics derived from the strategy's daily returns. The explanations for these metrics are provided below.
Metric | Description |
|---|---|
Sharpe Ratio | Measures the strategy’s excess return over a risk-free investment relative to its volatility. Learn more here. |
Sortino Ratio | Evaluates the strategy’s return relative to downside risk only. Learn more here. |
Omega Ratio | Assesses the probability of positive returns versus negative returns above a minimum acceptable threshold. Learn more here. |
Calmar Ratio | Compares the strategy’s return to its maximum drawdown. Learn more here. |
Tail Ratio | Measures the ratio of the magnitude of the largest gains to the largest losses. Learn more here. |
Stability | Evaluates the strategy's robustness on a scale from 0 to 1, with higher values indicating more stability. Learn more here. |
Annual Volatility (%) | Measures the fluctuation of strategy holdings over a year, expressed as a percentage and often used as a risk indicator. |
Max Drawdown (%) | The largest peak-to-trough decline in strategy holdings over a given period, indicating potential loss exposure. QuantiX uses daily returns to measure Max Drawdown. |
Skew | Analyzes the asymmetry of return distributions. Positive skew suggests frequent large gains, while negative skew indicates frequent large losses. |
Kurtosis | Measures the "tailedness" of daily return distributions. High kurtosis suggests more frequent extreme returns, while low kurtosis indicates fewer extreme events. |
Daily Value at Risk (%) | Estimates the strategy's maximum potential loss in a single day at a 95% confidence level. Learn more here. |
Annual Return (%) | The expected profit or loss over a year, expressed as a percentage of initial capital. If the backtest period is shorter than a year, the result is annualized. |