April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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Criteria of evaluation of the model
How can we conclude that a model is good? Some factors to consider are Sharpe ratios, hit ratios, average rate of return, VaR statistics, as well as the minimum and maximum drawdown encountered. How can a combination of such factors balance so that a model is usable? How much can the maximum drawdown be tolerated in achieving a high Sharpe ratio?