I don't pay attention to broker-generated risk metrics really, but rely on my own spreadsheets instead (very simplistic stuff and old school). I have just been playing with IBKR's statements and produced something very exhaustive with PortfolioAnalyst, from inception to date: Reading about those risk metrics, I wonder which are important to keep track of and/or improve? Thanks
Hello tonyf, Only two metrics matters to me: 1. Net Profit 2. Drawdown It is imperative #2 is really smaller than #1.
%% ALL those look helpful, tracking error seems a bit high. I like % YTD\ %52 weeks or 12 months, % for 3 years annualized, % for 10 years, annualized , % since inception, annualized-- but most start dates are different. One top fund manager said ''10 years is not important'' LOL he maybe partly right since some have not been in business for 10 years. Good older IBKR point, half page pic of smart phone with SPY price benchmark.[THAT SPY benchmark= good reason for me to do few or no single stocks lately - especially since first 2 month of 2013 was good bottom for some longs+ inverse ETFs]
Calmar Ratio is the easiest for me to calculate. My highest priortity is peservation of capital. As long as my calmar is higher than 1 I'm happy.
VaR (value at risk) then shock/bump curves over various scenarios and see what happens. Or better yet just value holdings at max(cost, current)
Hello tonyf, Simply clicking the "Back Test" in your trading platform will tell you everything on earth regarding whatever you want to know regarding trading metrics and trading method/ideas/strategies. Just do what everyone does not want to do, and click that Back Test button, within X minutes you will easily have Net Profit and Drawdown.
Positive expediency at time of opening position. Cost of money percentages on weekly/monthly timeframes. Does volume increase or decrease average net profit per contract or option. Mean minutes/seconds of legging into second option.