October 2016
Beginner
208 pages
5h 25m
English
Content preview from Quantitative Momentum
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
Appendix B
Performance Statistics Definitions
Table A2.1 provides a definition of the performance statistics used throughout the text.
Table A2.1 Performance Statistics Definitions
| Statistics | Description |
| CAGR | Compound annual growth rate |
| Standard Deviation | Sample standard deviation (annualized by square root of 12) |
| Downside Deviation | Sample standard deviation of all negative observations (annualized by square root of 12) |
| Sharpe Ratio | Monthly return minus risk-free rate divided by standard deviation (annualized by square root of 12) |
Sortino Ratio (MAR  5%) |
Monthly return minus minimum acceptable return (MAR/12) divided by downside deviation (annualized by square root of 12) |
| Worst Drawdown | Worst peak-to-trough performance |
| Worst Month Return | Worst monthly performance |
| Best Month Return | Best monthly performance |
| Profitable Months | Proportion of monthly performances that have a positive return |
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.