Hands-On Machine Learning for Algorithmic Trading

Summary – performance statistics

pyfolio offers several analytic functions and plots. The perf_stats summary displays the annual and cumulative returns, volatility, skew, and kurtosis of returns and the SR. The following additional metrics (which can also be calculated individually) are most important:

• Max drawdown: Highest percentage loss from the previous peak
• Calmar ratio: Annual portfolio return relative to maximal drawdown
• Omega ratio: The probability-weighted ratio of gains versus losses for a return target, zero per default
• Sortino ratio: Excess return relative to downside standard deviation
• Tail ratio: Size of the right tail (gains, the absolute value of the 95th percentile) relative to the size of the left tail (losses, abs. value ...