1 Quantitative Method of Risk Evaluation and Performance Monitoring for systematic trading strategies

Abstract: This article outlines fundamentals of risk and performance measurements for systematic trading strategies. The problem is that the standard methods of performance evaluation are not sufficient for high-frequency trading strategies with asymmetrical non-Normal law returns distribution. Article provides insight into QRatio (QR) as a new performance measure for systematic trading strategies. The implementation of the method for risk evaluation and performance monitoring in the real trading environment has been discussed