Posted By: nanotir
Performance report - 05/26/15 01:16
The parameters of the performance repot: R2,K, UI, SR and so on are based on models that assume a Gaussian distribution of returns. I wonder if such parameters could be calculated by considering another kind of distribution and then compare then or play with them in order to get further statistical analysis.
Posted By: jcl
Re: Performance report - 05/26/15 11:07
R2 and UI are unrelated to a Gaussian distribution. Kelly factor and Sharpe Ratio indeed assume a Gaussian distribution, but they are common criteria for performance comparisons. There are many other distribution-independendent parameters, f.i. profit factor or annual return.
Posted By: nanotir
Re: Performance report - 05/26/15 12:32
Thanks... I though there were more... I just wondered if a SR>1 in one kind of distribution, or in another would add more information to the tradeability of the strategy