Documentation/Other
Glossary
Definitions of quantitative trading terms.
| Term | Definition |
|---|---|
| Sharpe ratio | Annualised excess return divided by volatility. |
| Calmar ratio | Annualised return divided by maximum drawdown. |
| Max drawdown | Largest peak-to-trough equity decline. |
| IC | Information coefficient: correlation between a factor and forward returns. |
| IR | Information ratio: mean IC over its standard deviation. |
| NEC | Lattice credits, $1 = 10 NEC. |