Performance Metrics: Sharpe, Sortino, Profit Factor & Calmar
Master institutional quantitative performance metrics: Sharpe Ratio (total risk-adjusted return), Sortino Ratio (downside volatility filter), Profit Factor, Maximum Drawdown, and Calmar Ratio.
Interactive Simulation & Visual Mechanics
Interact with the live mathematical model, order book, or candlestick structural diagram to understand the mechanics intuitively.
Interactive Concept Simulation
How the Mechanism Operates
Total return in isolation is a meaningless vanity metric. Generating a 40% return with a gut-wrenching 45% drawdown is far inferior to generating a 25% return with a gentle 6% drawdown.
Institutional allocators judge trading strategies using risk-adjusted performance ratios:
Institutional Capital Allocation Based on Sortino Ratio
Algorithm generated 28% CAGR with 8% maximum drawdown and a Sortino Ratio of 2.85.
Demonstrated smooth upward equity curve with minimal downside volatility clusters.
Attracted institutional prop desk funding of ₹5 Crore due to superior risk-adjusted stability.
★ Institutions allocate capital to high Sortino and low drawdown systems, not high-volatility lottery strategies.
Non-Negotiable Risk Guidelines
Common Pitfalls & Remedies
Why it happens: A system with 60% CAGR and 50% drawdown will cause you to abandon it at the bottom of the drawdown curve.
Remedy: Select strategies with a Calmar Ratio (CAGR / MDD) of at least 2.0.
Frequently Asked Questions
What is a good Profit Factor for an intraday scalping system?
For high-frequency or intraday trading, a Profit Factor between 1.50 and 2.20 after accounting for brokerage, STT, and slippage is considered institutional-grade.
Related Playbooks & Sibling Concepts
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