Fundamentals of Automated Trading

  • Chris Conlan


The fundamental goal of trading is to maximize risk-adjusted return. When developing strategies, we will simulate trading performance in an attempt to maximize risk-adjusted return in simulation. There are many ways to measure risk-adjusted return. They involve examining the shape of the equity curve and the return series.


Trading Cost Sharpe Ratio Return Series Adjustment Period Maximum Drawdown 
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Supplementary material (71 kb)
SourceCode (zip 72 kb)

Copyright information

© Chris Conlan 2016

Authors and Affiliations

  • Chris Conlan
    • 1
  1. 1.BethesdaUSA

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