Quantitative Method of Risk Evaluation and Performance
Monitoring for systematic trading strategies
Rost Zemlinsky and Nick Laskin

Abstract: This article outlines fundamentals of risk and performance measurements for systematic trading strategies. The problem is that the standard methods of performance evaluation are not sufficient for highfrequency trading strategies with asymmetrical non-Normal law returns distribution. Article provides insight into QRatio (QR) as a new performance measure for systematic trading strategies. The implementation of the method for risk evaluation and performance monitoring in the real trading environment has been discussed.

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