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 

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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