Sharpe Ratio and other performance statistics

Nobody uses the Sortino Ratio as there are no standards for it. Using the same set of returns I can end up with wildly different numbers resulting from various inputs.

The go-to in the industry is still the Sharpe even with all the shortcomings. Savvy investors and managers will know Sharpe. Ignorant investors don't know anything but annualized returns and a good sales pitch.

That's the reality of the industry.
 
Best simplest measure is the CALMAR NET RETURN/MAX DRAW DOWN.

I'd also agree that the shape of the equity curve is important. One can gain a lot from that.

WIN %
AVG TRADE
MAE

Good to know too.

Quote from BigSalad:

I have a four month track record which I'm planning to calculate some meaningful statistics on.

First of all, with only four months there is certainly not much data for a Sharpe ratio. But, my first question is how long it would take before a Sharpe Ratio would provide anything meaningful? Of course, the more the better - but how long should I wait?

Then, monthly I have about 100-120 roundtrips. So, already the number of trades becomes significant. But some of the trades are simultanous (or almost), and are thus obviously depending on market conditions. They're not short term, but swing trades of 2-5 trading days.

But, from a record of now about 400 trades - what kind of meaningful statistics would you say I should calculate?

I would like to add that the trades are spot FX, so including leverage one way or another is also of interest with regards to return calculations.

Any input is greatly appreciated - I don't have a background in statistics although this surely is something I'd like to have :)
More...
 
1. CAGR

2. Drawdown data - max peak to valley drawdown, based on intraday tick high/low.

2. Win rate, average loser, average winner, max loser.

3. Relative performance, and correlation to the S&P.

4. Separate out the performance by strategy, if you use more than one strategy. List correlation between strategies.

5. Your worst-case loss at all times, if all the markets you had positions in gapped up or down 20% against you overnight.
 
If you are presenting any performance figures to potential investors you should realize that there is a specific format for doing so. All of these metrics are nice, but don't protect your liability.

For example, the CAGR is very useful, and you could share that with a client, but it doesn't replace the fact that you will need to provide them monthly and YTD performance for the past 5 years. This is the format prescribed.

They will also need to be given other crucial info...
Inception date
Total AUM pursuant to the program
Worst monthly drawdown
Worst peak-to-valley drawdown
 
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