Key Metrics for Trading Performance Analysis

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In continuation of the previous article, ‘[Python] Trading Simulation With Moving Average’, which demonstrated a simple implementation of day trading simulation with moving average crossover in Python, this article discusses the key metrics applied to assess the trading performance.

[Python] Trading Simulation With Moving Average

Table of Contents

· The Quest for Positive Returns
· Evaluating the Risk Aspect
∘ Sharpe Ratio
∘ Maximum Drawdown
· Trade Activity
∘ 1. Wining rate/ losing rate
∘ 2. Average win / average loss
∘ 3. Risk-to-Reward Ratio
· Relationship of Win Rate and Risk-to-Reward:
∘ High Win Rate with Low Risk-to-Reward Ratio
∘ Low Win Rate with High Risk-to-Reward Ratio
· Conclusion

The Quest for Positive Returns