Glossary

Explanations of the most important terms

Performance metrics:

(some indicator) in ETH – Some indicators for a strategy have different value depending on whether investor looks at it in USD or ETH terms. For example ROI in ETH tells us how much more ETH one would have at the end of investment period (while ROI is all about USD, Ulcer in ETH indicates how much stress is involved in trading a strategy when stress is caused by loss of ETH value of investment.

CAGR (Compound Annualised Growth Rate) – Average, yearly investment growth rate that is required for an investment to grow from initial investment to its final value. Due to compounding of returns, formula for CARG is more complex than simply dividing ROI by number of years. This is the most useful metric of profits. Notice how small differences in CAGR can have significant impact on total ROI of a strategy.

Drawdown (DD) and Max Drawdown (maxDD) – Difference (in %) between past highest value of investment and current value (peak-to-trough decline). Max Drawdown is the lowest value (DD is always negative) of drawdown during whole investment period. While max drawdown is not the best risk measure (since it account for single event only) it's still an important information about strategy performance. Keep in mind that -95% drawdown is in fact 2x worse than 90% drawdown!

ROI (Return on Investment) – Difference between initial investment in strategy and its end value in return (in % of initial investment)

UIcer (Ulcer Index, UI) – Ulcer is "total" drawdown, annualised. It measures how long and how deep drawdowns were in strategy history. Ulcer is one the best "pain" measures. Higher values indicate more "pain".

UIcer Performance Index (UPI) – Calculated as CAGR divided by Ulcer Index. Compares "gain" to "pain" for a strategy. My favourite measure of risk adjusted performance.

Percent Profitable After 1 year – If you invest on random day, and keep investment for 365 days, what are the chances that this investment would turn profit? It's important to understand that even if this number is low (which isn't the case for 100 Waves strategies), it may just mean that the investment is very profitable (since eg. you may lose small amount in most cases, but win big in some, enough to counterbalance the loses)

Other metrics:

Turnover – Percentage of strategy capital that is (on average) traded during one year.

Exposure to ETH – How much (in %) was this strategy invested in ETH (as opposed to USD or BTC)