Evaluation metric
Calmar Ratio rare
Calmar Ratio, Calmar
Definition
Annualized return divided by maximum drawdown, used to compare return against drawdown risk.
Boundary
It is dominated by the single worst drawdown and is unstable over short samples.
0 Strategies
0 Text mentions
0 Code hits
Role distribution
No role distribution.
Market regimes
Uptrend0/0Downtrend0/0Range0/0Breakout Onset0/0High Volatility0/0Low Volatility0/0Reversal Inflection0/0All Regimes0/0
Common parameters
No parameter samples.
Frequent co-occurrence
No co-occurrence records.
Semantic relations
- Basis ← Max DrawdownThe Calmar ratio uses maximum drawdown as its denominator.
- Basis ← Annual ReturnThe Calmar ratio uses annualized return as its numerator.
Evidence strategies
No evidence strategies.
Corpus quotes
No quotes.