Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
risk measures vs. performance metrics
Tim Meggs
posted Jan 31, 2013

Just a high level thought about the layout and content of the results that users are supplied with once an algorithm has completed.

Sharpe, Sortino etc. are more traditionally thought of as ways to describe the performance of an investment strategy (with some measure of 'volatility' masquerading as 'risk', being an input to their calculation) and might therefore be better placed under a heading 'Performance Metrics' in the results section. Volatility, Max drawdown etc. would rightly stay under the 'Risk Metrics' heading.

What do others think? And what other metrics would people like to see? %Winning trades? CAGR?

2 responses
James Jack
Jan 31, 2013

%winning trades is interesting because ?typically an algorithm will have a large percentage of trades that are not successful or just breaking even on average, and then a smaller percentage of trades which are the big winners where the theory has transformed into real cash. So it would be nice to get a better summary of the winning trades (perhaps they can be ranked by the amount gained). Snapshot information would also be nice: detailed graphs for where each trade was placed, preferably with the ability to label data points in the graph from the code.

Blue Seahawk
Feb 1, 2017

https://www.quantopian.com/posts/run-summary provides some individual stock info at the end of the run, just that time has gone by, needs Q2 updates if I remember right, it was never perfect, needs provision for shorting added for example.

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.