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STRATxAI

May 2024 · 5 min read

Don't be scared of the math

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There are some consistent terms referenced when investors refer to quantitative strategies, that tend to be mathematical in nature. In this post, we try to simplify these concepts and give some formulae and code so users can try this out for themselves if they wish. We will cover

  • returns: daily and cumulative returns and rolling returns
  • risk: same as above
  • risk-adjusted performance i.e Sharpe ratio
  • drawdowns
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