Tag Archives: metrics

Deep dive analysis of risk metrics and indicators

Deep dive analysis of risk metrics and indicators

(See below for most important links)

This is hopefully the last step before I go LIVE trading. This is the hardest and most involved step as described on my own blog. I will choose the best technologies and options I have presented. A lot of resources are my own as well.

See bottom for both most sensible to use as well as most convenient

Deep dive analysis of risk metrics and indicators

Available from my free Quantlabst.net/blog by searching ‘portfolio optimz’

Portfolio optimization:

Markowitz portfolio optimizaion and Bayesian Regression

Optimize Portfolio with CVaR in Matlab

R source code for trading script with update portfolio, position size, MA, cross over, SMA, optimize parameters pt 2

Entropy and Optimization of Portfolio for quant analysis

https://quantlabs.net/blog/2012/02/entropy-and-optimization-of-portfolio-for-quant-analysis/

The Efficient Frontier: Markowitz portfolio optimization in Python

https://blog.quantopian.com/markowitz-portfolio-optimization-2/

A Novel Algorithmic Trading Framework

Applying Evolution and Machine Learning

for Portfolio Optimization

http://blog.andersen.im/wp-content/uploads/2012/12/ANovelAlgorithmicTradingFramework.pdf

PortfolioSelectionwithRobustEstimation

http://www.est.uc3m.es/fjnm/esp/papers/RobustPortfolios.pdf

Advances in Cointegration and Subset Correlation Hedging Methods

http://ssrn.com/abstract=1906489

High return with low risk?

Tail hedge risk

https://quantlabs.net/blog/2016/08/high-return-with-low-risk/

Optimal F

https://quantlabs.net/blog/2012/03/position-sizing-for-quant-analytics/

*** Simplified Risk management http://www.seykota.com/tribe/risk/index.htm

Quant analytics: Paper for the Black Litterman Model: BLACK, F. (1989): “Universal Hedging:

https://quantlabs.net/blog/2011/12/quant-analytics-paper-for-the-black-litterman-model-black-f-1989-%e2%80%9cuniversal-hedging/

Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1565134

Why expected return factor models and risk factor models are different? Why expected return models and risk models use different factors?

This issue is addressed in an MSCI Barra research paper that’s available online:http://www.msci.com/resources/research/articles/2008/RI_Do_Risk_Models_Eat_Alphas_April_08.pdf.
There is also a JPM paper authored by three people from Goldman Sachs that emphasizes the need for including alpha factors in a risk model:http://www.iijournals.com/doi/abs/10.3905/jpm.2007.674791.

https://quantlabs.net/blog/2011/12/why-expected-return-factor-models-and-risk-factor-models-are-different-why-expected-return-models-and-risk-models-use-different-factors/

 

COT reveals something about existing traders’ positions hence big money sentiment. Yes I’m not surprised there’s a link to that and subsequent trends. Also Call/put ratio, VIX, Bullish Percent index, Trader sentiment surveys (American investors) show a little about sentiment hence are worth investigating as leading indicators.

If you believe a bit in Markowitz and you believe that there are no correlations its indeed a good idea to do the 2:1 split as in your example. The expected profit for your position p (say number of shares or contracts) in an asset is

PROFIT = p * volatility * expected Sharpe

I think of risk position r = p * volatility.

Markowitz in its most simple form tells you therefore r ~ inv(Correlation Matrix) * expected Sharpe. If your assets are uncorrelated… eh, voila.
Of course you can pimp your utility function and include penalties for updating positions, etc. I am a big fan of sparse portfolio updates using the L1-Norm (papers by Daubechies…).

 

https://quantlabs.net/blog/2011/08/quant-analytics-algorithmic-trend-detection-methods/

 

Search on blog for ‘position siz’ meaning position sizing

Day trading money management: Position sizing

https://quantlabs.net/blog/2016/09/day-trading-money-management-position-sizing/

 

What leverage do you use and why for forex?

 

What leverage do you use and why for forex?
Understanding Leverage and Margin in Forex Trading and Avoiding… pipburner.comForex leverage and margin explained with easy words. Find out example on how to prevent losses and use forex leverage efficiently for your trading.

–I think leverage is the consequence of the strategy one chooses, and its risk. If one trades with a standard 2 or 3% risk per trade, that provides the position size (and leverage), which will normally be way below 400:1 or even 50:1!
–So you think, leverage should be less than 50:1?
==Normally, yes. For example, let’s imagine you have an account with a margin of USD 10,000, and you want to buy EUR/USD at 1.3050 with a stop loss at 1.295 and profit at 1.325. The risk per trade would be 100 pips, or 100 USD per mini lot (10,000 units). With a strategy of 2% risk per trade (i.e. 200 USD), that would allow you to buy 2 mini lots (20,000 EUR/USD), so the leverage would be 2:1. In the same situation, a leverage of 20:1 (buying 2 standard lots) would mean to risk only 10 pips per trade.
So the strategy defines the leverage.
I read your comment that a leverage of 100:1 might work. The only case I can see that working in the long run is with very tight stop losses. Were you talking about a particular strategy? Thanks3 days ago• Like1 Follow CasemCasem Tong • you see, when you lower down the risk per trade e.g 4% to 2 or 3% or lower the leveraging is always go for minimal as you can ,those 50:1 or 100,200 :1 is consider gambling ” win or lose ” Manuel said 20:1 ( buying 2std lots) risk only 10pips but do you consider if the directions go against you then the 10pips is meaningless….

https://quantlabs.net/blog/2012/04/what-leverage-do-you-use-and-why-for-forex/

 

Quant development: Who is using R to develop and test trading algorithms?

Have a look at quantstrat, blotter, FinancialInstrument and PerformanceAnalytics…
Also RBloomberg and Ibrokers DEoptim for optimisation.

https://quantlabs.net/blog/2011/08/quant-development-who-is-using-r-to-develop-and-test-trading-algorithms/

 

Money management’ search

 

Money Management for Trading Advise video

https://quantlabs.net/blog/2014/06/money-management-for-trading-advise-video/

 

Kelly Criterion for basic risk management and self adapting money management

https://quantlabs.net/blog/2016/02/kelly-criterion-for-basic-risk-management-and-self-adapting-money-management/

1 5 hour Meetup replay of Risk parameters and money management in a self adapting automated trading

 

Questions found here: https://quantlabs.net/blog/2014/11/questions-for-risk-parameters-and-money-management-in-a-self-adapting-automated-trading-world/

 

….For example, a 100K with 25K deposited and 5% return. After exposure goes up 4x, 100K exposure on 8-10 positions with 25% cushion. If margin goes up to 30k, you can expose at 5x with total 150k on 10-12 positions. You need to increase your risk and diversity on portfolio. You increase your exposure as you improve to be more profitable. Your risk goes down as your portfolio becomes more diverse with a few more positions on each iteration. You need set up an upper limit with a upper limit of the exposure to apply. Your volatility of the portfolio will go up in the long run. In a pure long/short S&P 500 portfolio, never go beyond 6x exposure. A Standard Deviation 2 could knock you back to the start. If you add forex, the mix of the portfolio changes thing. After 2nd iteration, you want to ensure you add the right mix of forex, equity, and commodity so each month you get a nice return to rapidly build you portfolio. You could double your money after 1 year if you keep your exposure 5x with 25% annual return. You should add another 25K in 2nd second with another 50k added in third year. This can only be done when you when cut your losers fast and run the winners. with discipline in mind. Retail traders will pretty well break even at best.

 

Having discipline in your risk management for long term trading for profit

(pro way!)

https://quantlabs.net/blog/2014/09/having-discipline-in-your-risk-management-for-long-term-trading-for-profit/

Why vast amounts of retail traders lose money? Applying the day trading mode when volatility is low to make money

(pro way)

https://quantlabs.net/blog/2014/09/why-vast-amounts-of-retail-traders-lose-money-applying-the-day-trading-mode-when-volatility-is-low-to-make-money/

How to apply psychology of trading when you put your positions on? CRITICAL reason to automate while retail traders WILL always lose money

(pro way)

https://quantlabs.net/blog/2014/09/how-to-apply-psychology-of-trading-when-you-put-your-positions-on-critical-reason-to-automate-while-retail-traders-will-always-lose-money/

 

Quant opinion: The three myths of modern risk management part 1

 

Volatility and VaR are stictly “backward looking”, so they work as long as the past is what is going to happen in the future. But during bubbles this is a naive assumption. Note that volatility and VaR are typically low during periods of over-optimism just before a bubble bursts. Totally useless.

The one thing to remember is that even market aggregates can become overvalued, so the G-D value principle applies to the market in aggregate as well as for individual companies, a fact missed by some value investors.

I have written a white paper on the subject here (note also my comments on risk and volatility):
http://www.pionline.com/assets/docs/CO72842217.PDF

https://quantlabs.net/blog/2011/05/quant-opinion-the-three-myths-of-modern-risk-management-part-1/

 

Which affects your currency trading?

Demand for storage and foreign currency trading

 

You can do currency trading in the futures market. The position size are manageable for individuals. You don’t need a big movement for profit. Leverage can be used to increase your profit. Interest rates affect currency markets who pays the highest. Inflation will affect the purchasing power of a particular country. Monetary policy affects by tightening or loosening money supply. Trade balances affect importing or exporting of the country. Economic growth affected based on Business cycle of a country as in recession or recovery. Political stability where there could be a political change.

https://quantlabs.net/blog/2015/07/demand-for-storage-and-foreign-currency-trading/

Is there any Relation between spot currency market (forex) and option currency market

 

I think the simplest implementation would be to trade FXE options which are listed on the major US option exchanges. FXE is the euro ETF which trades over 1,400,000 shares a day. There is enough open interest to allow you to pursue some simple strategies. As long as your account is set up for listed option trading, you can trade FXE

Is there any Relation between spot currency market (forex) and option currency market

 

MOST RELEVANT LINKS From ABOVE in Python

http://blog.andersen.im/wp-content/uploads/2012/12/ANovelAlgorithmicTradingFramework.pdf <– great research for machine learning with Portfolio Analytics/Risk/ etc

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1906489

Basic definitions: http://www.seykota.com/tribe/risk/index.htm

https://blog.quantopian.com/markowitz-portfolio-optimization-2/

Markowitz portfolio optimizaion and Bayesian Regression

 

These might be the most convenient and easiest for Python

http://work.ange.le.free.fr/works/MarkowitzPortfolio/MarkowitzPortfolio.pdf <— this is very comprehensive and exactly what I want

https://www.quantopian.com/posts/the-efficient-frontier-markowitz-portfolio-optimization-in-python-using-cvxopt

https://blog.quantopian.com/markowitz-portfolio-optimization-2/

http://dx-analytics.com/11_dx_mean_variance_portfolio.html

http://travisvaught.blogspot.ca/2011/09/modern-portfolio-theory-python.html

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

How should I rank my metrics for market sector stock selection for long short spread trading

How should I rank my metrics for market sector stock selection for long short spread trading

This is for my analytics systems here:

Analytics to forecast the markets while trading

The Excel spreadsheets can be downloaded above here as well

I am insteresting heaing your comments

Join my FREE newsletter to the see the results of othe insiders

 

This is the order I am thinking as talking to EXPERT traders:

EPS (used to work in the past but only valid for companies that pay dividends)

stats -> mean has potential, stadnard deviation is lagging

ATR –> potential not to have real correct value for trading (based on value of price)

imp vol —> lagging since it is based on theoritical value which is current market price

Anyone disagree?

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Meetup and other events tonight! Trading Idea Generation Metrics and Indicators

TONIGHT:

1.  Please join my meeting, October 20, 2014 at 7:00 PM Eastern Daylight Time.
https://global.gotomeeting.com/join/185486237

2.  Use your microphone and speakers (VoIP) – a headset is recommended.  Or, call in using your telephone.

Dial +1 (646) 749-3112
Access Code: 185-486-237
Audio PIN: Shown after joining the meeting

Meeting ID: 185-486-237

GoToMeeting®
Online Meetings Made Easy®

Not at your computer? Click the link to join this meeting from your iPhone®, iPad®, Android® or Windows Phone® device via the GoToMeeting app.

Also I just scheduled the following:

http://www.meetup.com/quant-finance/events/211983322/

http://www.meetup.com/R-Matlab-Users/events/211983782/

Other Meetups scheduled:

Pow wow: Can you use government source data to predict the markets for profit?
Monday, October 27, 2014

I want to you hear from you on this topic! I am using this within my internal automated trading system where I use sources like PMI, Consumer Sentiment, etc. I focus on on the top 3 regions within the world including USA, China, and Europe. What do you use? How do you acquire it? Does it work? Let’s talk about it!

http://www.meetup.com/quant-finance/events/214210252/

http://www.meetup.com/R-Matlab-Users/events/214210572/

Risk parameters and money management in a self adapting automated trading world
Mon Nov 03
7:00 PM

Pow wow: How future and options data can impact the equity markets next day?
Mon Nov 10
7:00 PM

http://www.meetup.com/quant-finance

http://www.meetup.com/R-Matlab-Users/

Thanks and hopefully so you online

Bryan

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

What is your metrics or indicators for trading idea generation?

What is your metrics or indicators for trading idea generation?

I am looking at compiling a list.

Comment here below.

I am currently using EPS, ATR, Market Cap, beta, implied volatility, and basic descriptive stats

I got a forum posting open for comments;

http://quantlabs.net/academy/forum/quant-academy-forum/what-are-your-metrics-or-indicators-do-you-use-for-trading-idea-generation/#p657

Here are my Meetups online Events to ties these topics:

http://www.meetup.com/quant-finance/events/211983322/

http://www.meetup.com/R-Matlab-Users/events/211983782/

This takes place Monday Oct 20 at 7 PM Eastern Standard Time

See more

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Pow wow talk on Trading Idea Generation Metrics and Indicators What are your metrics or indicators do you use for trading idea generation?

 

Pow wow talk on Trading Idea Generation Metrics and Indicators What are your metrics or indicators do you use for trading idea generation?

I am looking at compiling a list.

Comment here below.

I am currently using EPS, Market Cap, beta, implied volatility, and basic descriptive stats – See more at: http://quantlabs.net/academy/forum/quant-academy-forum/what-are-your-metrics-or-indicators-do-you-use-for-trading-idea-generation/#p657

Or at my blog to add your comments: https://quantlabs.net/blog/2014/10/what-are-your-metrics-or-indicators-do-you-use-for-trading-idea-generation/

Monday, October 20, 2014 via GotoMeeting

 

7:00 PM EST

Join my FREE newsletter to learn more about trading idea generation

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

What are your metrics or indicators do you use for trading idea generation?

What are your metrics or indicators do you use for trading idea generation?
I am looking at compiling a list.

Comment here below.

I am currently using EPS, ATR, Market Cap, beta, implied volatility, and basic descriptive stats

http://quantlabs.net/academy/forum/quant-academy-forum/what-are-your-metrics-or-indicators-do-you-use-for-trading-idea-generation/#p657

Here are my Meetups:

http://www.meetup.com/quant-finance/events/211983322/

http://www.meetup.com/R-Matlab-Users/events/211983782/

 

Join my FREE newsletter to see what comes out of this discussion

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Just posted: What metrics I use to measure my long and short trades for spread trading opportunity

Just posted: What metrics I use to measure my long and short trades for spread trading opportunity

Yes i did just post this for my members witha quick video to identify these metric. I also reveal how to retrieve the data:

http://quantlabs.net/academy/metrics-use-measure-long-short-trades-spread-trading-opportunity/

This quick video explains it as part of my long and sort to measure who those pairs will be when trade ideas are generated. Once identified, they are added to my watchlist. – See more at: http://quantlabs.net/academy/metrics-use-measure-long-short-trades-spread-trading-opportunity/#sthash.OFx2X07o.dpuf

OR JOIN MY FREE NEWSLETTER TO LEARN MORE ABOUT TRADING OFF A WATCH LIST

This quick video explains it as part of my long and sort to measure who those pairs will be when trade ideas are generated. Once identified, they are added to my watchlist. – See more at: http://quantlabs.net/academy/metrics-use-measure-long-short-trades-spread-trading-opportunity/#sthash.OFx2X07o.dpuf

 

Here is the video

Who are the TOP income earners on the Planet? DOH Hedge Fund Managers
Who had $2.2 Billion Go into his pocket last year?
  • Latest News
    Get the lastest membership news
  • Calendar of Events
    See the latest upcoming events
  • Member Forum
    Learn and share with other members
  • Knowledgebase
    Questions & Answers

– See more at: http://quantlabs.net/academy/metrics-use-measure-long-short-trades-spread-trading-opportunity/#sthash.OFx2X07o.dpuf

 

Here is the video

Who are the TOP income earners on the Planet? DOH Hedge Fund Managers
Who had $2.2 Billion Go into his pocket last year?
  • Latest News
    Get the lastest membership news
  • Calendar of Events
    See the latest upcoming events
  • Member Forum
    Learn and share with other members
  • Knowledgebase
    Questions & Answers

– See more at: http://quantlabs.net/academy/metrics-use-measure-long-short-trades-spread-trading-opportunity/#sthash.OFx2X07o.dpuf

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Is this big data? What metrics would you run against this dataset for quant analysis?

Is this big data? What metrics would you run against this dataset for quant analysis?

The dataset consists of 65,000+ customers, 2,000+ skus, served through 20+ channels. The dataset is comprehensive, granular profitability calculated at the intersection of the customer, channel and product. ~300 million line items are calculated monthly, and includes YTD data. This is accomplished in a closing window of <18 hours, as subsegment P&L’s are generated from the recordset. Do you consider this big data? If so, or if not, why?

@quantalyst

 

==

Nope. Too small. Easily fits inside a relational model.

 

==

Do you plan to merge this data with any social media or other semi structured data (images, financial documents, etc)? What is the velocity associated with the collection of this data? I am guessing there has been some data modeling done here but what rate of change do you anticipate with the different data assets that you plan to use? Some of these items will provide insight into if this would leverage a big data solution or not.

However, to a point if the data footprint can fit into a database and the data asset and elements within it can be serviced well in a relational solution…… pursue that first.

 

==

this is certainly at the smaller end of the spectrum of what is generally accepted as Big Data. Big Data is typically defined by variety and volume of data, but add in velocity and that can all change. You say you’re analyzing this all in monthly batches in under 18hours. Your data can become ‘big’ if your company needs to start getting this information weekly or even daily to benefit from tracking customer/market trends or evaluating channel metrics and performance and enable more agile decision making. Then you need to deal with bringing that 18 hour window down to say 3 or 4, as well as reducing your nightly batch windows by enough to accommodate the new process – a lot easier and cheaper than people tend to think, but still requires an investment. Decide what data is most important to you now, how often and quickly you need that data and base your solution strategy on that.

 

==

Thanks – appreciate the responses…more to come, but I’ll start some new threads. Some issues…velocity – definition and approprate standard measures….RDMS – don’t we have to get the data into some type of OLAP to actually analyze?

 

==

it depends on what the analytics are. If you can do what you need to in a relational format easily and are thinking in terms of cubes, you’ll likely be better served doing that. If, however, your needs include flexibility to expand/add/drop data sets for experimentation, analytics where a query structure isn’t the most natural way to express the question, or is computationally very expensive (think machine learning for pattern identification) even if the data set itself is not “big”

==

 

There is this expression “… If all you have is a hammer, then all your problems look like a nail”. … I’m sure I fractured that statement, but you get the idea…

Based on your initial problem definition, you have to ask yourself if you can easily fit the problem in to an RDBMS. Meaning the data does not require the scale of Hadoop.

Based on your initial numbers… Not even close.
It’s surprising that while Tom works for a large vendor that’s spending lots of money, attempting to buy market share, he forgets that his company also sells two RDBMS engines that are probably better equipped to solve your use case. Or rather one of those engines. (This happens to be that proverbial hammer. 😉

Using IBM as an example, check out IDS.
Here you can use the engine as your OLTP source. Which is what you will want since you are talking about a system of record. You have built in extensibility in that you can extend the relational model. See Stonebraker’s Illustra that IFMX bought in ’95. You have this thing called RTL where you can load over 50k of tick data a second. So you can really handle velocity. (Note: you added velocity as an after thought and your data uses do not suggest that level of velocity. RTL would be overkill. ) but that same extensibility allowed them to create IWA. Essentially an all in memory appliance which you can attach to your RDBMS engine and do queries across both machines using an industry standard SQL.

Of course there are limitations in terms of scalability. However for your data set size, they could be an option.

In terms of Analytics… There used to be a partnership with NAG hence the NAG data blade… So you’ve got that covered.

It’s a pitty that Janet killed Arrowhead. Had it gone through things would have looked a bit different in terms of the big data space.

But I digress. The point is that I can solve your problem with a different toolset. As someone who is not a talking head, but is actually working as a solutions architect, each solution has its share of trade offs. You have to balance the pluses and minuses when trying to ind the ight solution for you…

 

==

evidentially missed the part where I said “If you can do what you need to in a relational format easily and are thinking in terms of cubes, you’ll likely be better served doing that.”

 

==

You were just regurgitating what was already posted in earlier responses. 🙂

You went on to make. Comment about how it’s not always the size of data, but the complexity of tha Analytics…
Which again I point to advances in IDS that have been stable for the past 10+ years that handle complex Analytics.

Again size and complexity point to a non Hadoop solution. Add velocity which the OP did and again IDS solves that issue.

While you work for IBM, in IM, you don’t really know your own product sets. Typical for IBM. Don’t feel bad though, I seriously doubt there are any if not a handful of people who could tie all the products in IBMs portfolio together…

Like I said in a terse post way at the top… Not a big data problem…;-)

 

=

Statistics are maintained at each of the 300 million data points. The stats first, drive costs to the appropriate channel/customer/product; and, second intersect the costs to arrive at a cost at the channel/customer/product.

Some of the statistics and sources include:
..a) Route Management System (#Services, Channel_ID, TimeOnRoute);
..b) “Hand Held” System – time stamps (#MinutesAtService for various activities);
..c) Warehouse management system (labor activity distribution);
..d) 3rd Party Freight Management System (Freight Lanes and Costs);
..e) Inventory (#QuantityOnHand);
..f) Certan specialized databases (Assets, Payroll)
..f) ERP transactional system including Inventory Transfer (SKU counts across lanes), G/L (costs); Order Entry (order counts by SKU & Customer)

The 300 million result set is a single source for all sku/customer/channel reporting and analytics giving management transparency into the customer supply chain. It drives tactical and strategic decisions including; a) Subsegment P&Ls; b) Pricing (value of customer relationship); c) Process Improvement; d) Logistics optimize; e) Product release profile; f) new customer profile.

Yes, it is RDMS/OLAP driven, monthly (auditable to the G/L). It seems that the consensus is that calling this “big data” is a stretch….maybe “very large data”. However, this is driving decision making – is “big data” doing the same?

@quantalyst

 

==

If you want to fix the 18 hour job cycle then, yes, some big data technologies might be useful for parallelizing the analysis. Hadoop processes don’t really allow you to pack much algorithm in one pass. You could make a preprocessing phase that creates a common input dataset, and then run separate parallel algorithms on that for your various analyses.

There are open source OLAP databases (Pentaho for one) so you can have several servers, each running a different analysis.

 

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Quant analytics: Backtesting a strategy and wondering what are the best metrics to evaluate the results of the trades

Backtesting a strategy and wondering what are the best metrics to evaluate the results of the trades (beyond overall PnL, Profit Factor, Winning Trade %) . Any othe industry standards?


If you’re talking only about trades then I think favourable/unfavourable excursion would be one of the most important parameters. What you mention are parameters for estimating the overall system performance. And of course there are a lot more, like Sharpe, Sortino, and many other ratios and coefficients. However using them is mostly a matter of personal taste, while Sharpe seems like being the industry standard used by fund raisers and recruiters.

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