Trading Strategy evaluation: Risk of return
The below file “RiskOfRuinAssign_RefStrategyPerf.csv” contains the strategy results download. Download this file and work with it to compute following metrics (hint: you will need to convert it into an Excel spreadsheet and format, rearrange, recalculate, create new columns etc.)
https://www.studypool.com/questions/download?id=2833559&path=uploads/questions/2167676/20230503221225riskofruinassign_strategey_.xls&fileDownloadName=attachment_1
Submit your spreadsheet with the following metrics computed and highlighted in Yellow:
Assume that you are starting with an initial capital of $25,000 and we will consider it a ruin if you lose 50% of it (at a balance of $12,500, you won’t be able to trade even one mini contract of NQ).
(i) Winning rate (%)
(ii) Losing rate (%)
(iii) Average profit per winning trade ($)
(iv) Average profit per winning trade (as % of initial capital)
(v) Average loss per losing trade ($)
(vi) Average loss per losing trade (as % of initial capital)
Notes:
(a) To help you focus on the current learning topic.
(b) We are NOT calculating the Risk-of-Ruin in this homework. We will go into a full fledged formula to calculate the Risk-of-Ruin using the above metrics in the next class.
(c) Each of the above metrics you are being asked to compute are simple, arithmetic calculations – do NOT need any specific advanced formulas.
