Evaluation indicator | Formula | Description |
Total return |
| : The total position and cash in the beginning of back-test. : The remaining position and cash after back-test. |
Total annualized return |
| R: Revenue. n: Days of strategy execution. |
Benchmark volatility | / | Corn dominant contract. |
Division Abnormal profit |
| : Total revenue. : Benchmark revenue. |
Sharp ratio |
| : Annual Yield. : Risk-free Yield. : Volatility of return. |
Maximum drawdown |
| : Total position and cash on sometime. |