Performance measures if the strategy outperforms random strategies trading with the same risk. The higher the score, the better the strategy ranks vs. random strategies with the same risk.
The spirit is similar to Sharpe/Sortino ratios, but the implementation overcomes shortcomings that arguably render Sharpe/Sortino unfit to assess high-risk, high rotation trading strategies.
Strategies are benchmarked against 10.000 monkeys randomly trading exactly the same risks. The resulting ranking accurately reflects non-random performance.
How does a good trader prove that luck contributes nothing to their trading the right asset, at the right time, in the right direction?
Easy! All it takes is to beat strategies that trade the same assets, at the same time, with the same risk, just the way a monkey would: randomly!
The chart displays a return leaderboard benchmarking the strategy and 10.000 virtual monkeys trading with the same market exposure, position length and D-Leverage.
You guessed it: the more monkeys you beat, the better.
The goal is to lead the monkey challenge consistently over time!