Portfolio end of day statistics¶
It is a profit or lose of a strategy computed at the end of a day . To compute this statistics we treat all quotes from one day as a one big quote and on this base we compute the open, close, highest and lowest price of an instrument for a particular day.
Definitions¶
 The sum of profit/loss of all trades up to day . Concerns only already closed position at last at day .
 The estimated value of all open positions at the end of the day .
 Profit/Loss: .
 Portfolio value at the end of day : .
 The return of the portfolio at the end of the day: .
 The cumulative portfolio return at the end of the day: .
 The annualized portfolio return: .

The annualized portfolio standard deviation estimator:
where .
 The daily return of a portfolio at the end of a day : .
 The downside difference between a portfolio return at the end of a day and the daily return for a day : .
 The number of which has a value smaller then zero: .
 The Omega upside ratio for portfolio at the end of the day: .
 The Omega downside ratio for portfolio at the end of the day: .
Simple statistics¶
 Number of portfolio end of day values
 It is a number of the days in which strategy was executed. It symbol is .
 Portfolio EOD Sum
 It is a sum of a values of the portfolio. It is computed when the strategy is done and it takes to the account all days in which the strategy was active. It defined as follows:
 Portfolio EOD Mean
 It is average value of a portfolio during the execution of a strategy. Its is defined as follows:
 Portfolio EOD Variance
 It is an estimator of a variance of all portfolio values achieved at the end of the days in which strategy was active. Its is defined as follows, the denominator of the below fractional is because this estimator is unbiased.
 Portfolio EOD Stddev
 It is a standard deviation estimator of all portfolio values achieved at the end of the days in which strategy was active. It is defined as follows
 Portfolio EOD Skewness
 It is a measure of a asymmetry of the distribution of all portfolio values at the end of the days in which strategy was active. It shows in which direction this distribution is moved. Its estimator is defined as follows
 Portfolio EOD Kurtosis
 It is a measure of a “tailedness” of the distribution of all portfolio values at the end of the days in which strategy was active. Its estimator is defined as follows
Sharpe ratios¶
 Sharpe ratio
 This standard statistic is computed in the following way
 Sharpe ratio Israelsen modification
 It the sharpe ratio is negative then it is reasonable to use its modified variant, the Israelsen modification.
Sortino ratios¶
 Annualized downside risk
 Annualized downside risk is computed in the following way, where
Sortino ratio
Other ratios¶
 Omega ratio
 The Omega ratio for the portfolio at the end of the day. It is computed in the following way.