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TL;DR: CRPE – A Smarter Portfolio Evaluation Metric The Comprehensive Risk-Adjusted Portfolio Efficiency (CRPE) metric redefines portfolio evaluation. Unlike Sharpe or Sortino, it analyzes full drawdown profiles, enabling better comparisons across portfolios or strategies, even with different benchmarks. CRPE rewards strong returns with effective risk management—perfect for smarter, modern investing decisions. The longer version When […]

Abstract The Comprehensive Risk-Adjusted Portfolio Efficiency (CRPE) metric is introduced as a new approach to evaluating trading strategies based on risk-adjusted performance. Traditional metrics like the Sharpe Ratio, Sortino Ratio, and Calmar Ratio focus on different aspects of return versus risk but often rely on single-point values, which fail to capture the nuanced behavior of

The Power of Volatility: How Diversification and Automation Transform Portfolio Performance Volatility as an Opportunity Today, I want to share something remarkable with you. Some of our trading strategies are specifically built to thrive in volatility. Volatility creates more distinct opportunities for entry and exit—the bread and butter of compounding returns, and compounding returns are

In the realm of trading, drawdown is a critical metric that quantifies the decline in an investment’s value from its peak to its subsequent trough. This measure is pivotal for traders and investors, as it provides insight into the potential risks and volatility associated with a particular trading strategy or portfolio. The chart above shows the performance

When evaluating trading strategies or portfolio performance, two of the most popular risk-adjusted return metrics are the Sharpe Ratio and the Sortino Ratio. While both metrics aim to provide insights into how effectively a strategy generates returns relative to risk, they focus on different aspects of volatility. Understanding the strengths and weaknesses of each metric is critical for

If you aren’t ready yet to fully automate your trading/investing, but still want to improve your results consistently, the chart below showcases a set of tools to help you confidently navigate Bitcoin’s weekly chart price action, or that of any other instrument and time frame. Here’s how these indicators work and how they can be