Possible figures of merit related to return on investment: arithmetic and geometric mean

Source: www.forexautomaton.com

When evaluating the performance of a trading system, I calculate the first moment (an arithmetic mean of the series of returns) as well as the second one (a variance of the series). Originally my "Sharpe-like" ratio, used to adjust the return for the risk, was a ratio of the first moment to the square root of the second. The series of returns would be composed of annualized returns calculated every month.


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