Rolling Risk-Adjusted Performance RatiosThis simple indicator calculates and provides insights into different performance metrics of an asset - Sharpe, Sortino and Omega Ratios in particular. It allows users to customize the lookback period and select their preferred data source for evaluation of an asset.
Sharpe Ratio:
The Sharpe Ratio measures the risk-adjusted return of an asset by considering both the average return and the volatility or riskiness of the investment. A higher Sharpe Ratio indicates better risk-adjusted performance. It allows investors to compare different assets or portfolios and assess whether the returns adequately compensate for the associated risks. A higher Sharpe Ratio implies that the asset generates more return per unit of risk taken.
Sortino Ratio:
The Sortino Ratio is a variation of the Sharpe Ratio that focuses specifically on the downside risk or volatility of an asset. It takes into account only the negative deviations from the average return (downside deviation). By considering downside risk, the Sortino Ratio provides a more refined measure of risk-adjusted performance, particularly for investors who are more concerned with minimizing losses. A higher Sortino Ratio suggests that the asset has superior risk-adjusted returns when considering downside volatility.
Omega Ratio:
The Omega Ratio measures the probability-weighted ratio of gains to losses beyond a certain threshold or target return. It assesses the skewed nature of an asset's returns by differentiating between positive and negative returns and assigning more weight to extreme gains or losses. The Omega Ratio provides insights into the potential asymmetry of returns, highlighting the potential for significant positive or negative outliers. A higher Omega Ratio indicates a higher probability of achieving large positive returns compared to large negative returns.
Utility:
Performance Evaluation: Provides assessment of an asset's performance, considering both returns and risk factors.
Risk Comparison: Allows for comparing the risk-adjusted returns of different assets or portfolios. Helps identify investments with better risk-reward trade-offs.
Risk Management: Assists in managing risk exposure by evaluating downside risks and volatility.
Riskanalysis
Martingale TemplateA template example on how to apply the famous Martingale gambling strategy. When your strategy gets an exit signal for your long position that leaves you without profit, you re-enter on the next entry long condition with double the capital of the previous amount entered with. You keep doubling the amount of capital entered with until you finally exit with a profit. If the strategy isn't sound enough then it could take several attempts and it can take only as much as a dozen tries to eat away at all your capital as the capital required to double on the next entry increases greatly over time by consecutive products of 2.
The strategy used is just a simple moving average crossover, above the moving average is going long, below the moving average is going short. It can be replaced with whatever strategy that you want. The colored vertical bars show long and short positions and exits. The default option on the tick box under the settings show the number of attempts at entering before finally exiting with a profit, the other option shows the amount of capital it took starting from 1.
Ulcer IndexThis indicator was described by Peter G. Martin and Byron B. McCann in their book "The Investor's Guide to Fidelity Funds" (1989).
