Benchmark¶

Performance Metrics¶

FinRL-Meta provides the following unified metrics to measure the trading performance:

Cumulative return: \(R = \frac{V - V_0}{V_0}\), where V is final portfolio value, and \(V_0\) is original capital.
Annualized return: \(r = (1+R)^\frac{365}{t}-1\), where t is the number of trading days.
Annualized volatility: \({\sigma}_a = \sqrt{\frac{\sum_{i=1}^{n}{(r_i-\bar{r})^2}}{n-1}}\), where \(r_i\) is the annualized return in year i, \(\bar{r}\) is the average annualized return, and n is the number of years.
Sharpe ratio: \(S = \frac{r - r_f}{{\sigma}_a}\), where \(r_f\) is the risk-free rate.
Max. drawdown The maximal percentage loss in portfolio value.