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The distribution of drawdown is highly sensitive to the trading strategy you are running. The distributions of drawdown for a Black Swan strategy and carry strategy are very different. Only you know what you are doing. If you are good, drawdown will have thin upper tail. If you are not good, it may have fat upper tail (or its distribution may fail in other ...


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"How can I compare how efficiently the strategies are using their capital and rank them? Are there any established metrics for that?" The strategies will incur financing costs when using capital so those which are invested for a higher proportion of the time will incur higher financing costs. You could also look at return per unit of time in the ...


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