3 votes

Is there an encyclopedia of peformance/risk measures for backtests of strategies?

You can use quantstats in Python. https://github.com/ranaroussi/quantstats
SachaTheBrave's user avatar
2 votes
Accepted

Difference between Maximum Drawdown and Largest Individual Drawdown

From your (or rather Bacon's) description, it seems to me that the "Largest Individual Drawdown" would more properly be called a losing streak, or a run of negative returns. Since you seem ...
Enrico Schumann's user avatar
1 vote

Is there an encyclopedia of peformance/risk measures for backtests of strategies?

In my AssetAllocation package I made use of the PerformanceAnalytics package, which covers many of these metrics. Quantstats in Python offfers similar functionality. Maybe the documentation of these ...
rubetron's user avatar

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