What does the Performance (Pf) attribute tell about a trading strategy / DARWIN?

The Performance (Pf) Investable Attribute compares the risk-adjusted return of a DARWIN (maximum 6.5% monthly VaR) against the returns of 10,000 random strategies with exactly the same level of risk.

We’ll soon discontinue the Performance attribute as it’s effectively redundant in the presence of the D-Score.

What is it?

The Performance (Pf) Investable Attribute compares the risk adjusted return of a DARWIN (maximum monthly 6.5%VaR) against the returns of 10,000 random strategies with exactly the same level of risk. It then ranks them on a percentile basis from 1% to 99%.

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.

Pf is an excellent way to identify the statistical illusions inherent in many trading strategies offered on copy trading platforms. We refer to those strategies with a long track record, significant number of trades and an apparently seductive equity curve that at first glance appear investable. But where upon further examination on a trade by trade level, it can be seen that the positive returns are predominantly generated by a small number of excessively leveraged trades. In this case the return is therefore not as a consequence of a robust and stable strategy that generates consistent alpha.

The Pf scores fluctuates from 0-10 and is based on the last 12 D-Periods of Experience (Ex).

Where can I see this information?? 

As with the rest of the Investable Attributes, you can access Pf information for a DARWIN via the icons in the top right of the DARWIN profile

 

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or by clicking through the ["Investable Attributes" / "Pf"] path within the DARWIN profile.

 

performance UYZ

Examples of Pf scores

Good score

This DARWIN has an excellent 9.9 score for Pf across the last 12 D-Periods - pretty much top of the class.

Good performance PME

OK score

This DARWIN has a Pf score of 5.1

Over time the Pf score has fluctuated substantially and suffered a steep decline from 8.45 to 3.84 before starting to recover.

Performance 5

Poor score

This DARWINs Performance (Pf) score has never really taken off. 

Poor performance