Evaluation indicator

Formula

Description

Total return

$\frac{v_{end}-v_{start}}{v_{start}}\times 100\%$

$v_{start}$ : The total position and cash in the beginning of back-test.

$v_{end}$ : The remaining position and cash after back-test.

Total annualized return

$\left({\left(1+R\right)}^{\frac{250}{n}}-1\right)\times 100\%$

R: Revenue.

n: Days of strategy execution.

Benchmark volatility

/

Corn dominant contract.

Division Abnormal profit

$\frac{R_{total}+1}{R_{bench}+1}-1$

$R_{total}$ : Total revenue.

$R_{bench}$ : Benchmark revenue.

Sharp ratio

$\frac{R_{annual}-R_{free}}{v_{return}}$

$R_{annual}$ : Annual Yield.

$R_{free}$ : Risk-free Yield.

$v_{return}$ : Volatility of return.

Maximum drawdown

$\frac{Max\left(v_x-v_y\right)}{v_x},y>x$

$v_x,v_y$ : Total position and cash on sometime.