Strategy Result Details
Understanding the results of your generated model
- MAPE: the mean absolute percentage error (MAPE), also known as mean absolute percentage deviation (MAPD), is a measure of prediction accuracy of a forecasting method
- The run time refers to the duration it takes to run the model.
- The number of trades refers to the amount of trades the model has simulated.
- Net profit is the difference between initial capital and ending capital at the end of the model's timeframe.
- A positive net profit is a positive return on investment. A negative net profit is a loss on investment.
- Drawdowns are a measure of downside volatility/risk.
- Max drawdown measures the maximum fall in the value of the investment, as given by the difference between the value of the lowest trough and that of the highest peak before the trough.
- For example:A MDD ratio of 25% means you could have lost a maximum of 25% of your equity.
- The Sortino Ratio is a performance metric that measures the risk-adjusted return of an investment using only the downside risk.
- It is calculated as follows:
- Sortino Ratio =
- = Actual or expected portfolio return
- = Risk-free rate
- = Standard deviation of the downside
- It is widely used as an indicator of the "quality" of an investment fund or portfolio.
- This ratio is the most fitting for cryptocurrencies (as opposed to the more commonly used Sharpe ratio) because cryptocurrencies are expected to have higher upside risks and therefore higher profits.
- The higher the Sortino Ratio, the better because a higher value indicates that the portfolio is more efficient and does not take on unnecessary risk without being rewarded with higher returns. When the Sortino Ratio is very low or negative, it means that the investment does not get rewarded for taking on additional risk.
- For example:
- 1.A negative Sortino ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.
- 2.A Sortino ratio between 0 and 1.0 is considered sub-optimal.
- 3.A Sortino ratio greater than 1.0 is considered acceptable.
- 4.A Sortino ratio higher than 2.0 is considered very good.
- 5.A Sortino ratio of 3.0 or higher is considered excellent.