Performance measures
Metrics
- Sharp ratio
- Sortino
- Semivariance = downside only
- Period Statistics: high, low, drawdown
- Up days & Down days for selected periods
Adjusted close price of asset (splits & dividends)
Market indicators
ICSA indicator is 100% correlated with the stock market
Visualisation
- Horizontal line in chart with current price
- OHLC chart
Is something real in the world taking place.
I have set up my Bloomberg monitor to display the price and percentage change of all relevant prices in the world: currencies, stocks, interest rates, and commodities. By dint of looking at the same setup for years, as I keep the currencies in the upper left corner and the various stock markets on the right, I managed to build an instinctive way of knowing if something serious is going on. The trick is to look only at the large percentage changes. Unless something moves by more than its usual daily percentage change, the event is deemed to be noise. Percentage moves are the size of the headlines. In addition, the interpretation is not linear; a 2% move is not twice as significant an event as 1%, it is rather like four to ten times. A 7% move can be several billion times more relevant than a 1% move! The headline of the Dow moving by 1.3 points on my screen today has less than one billionth of the significance of the serious 7% drop of October 1997. People might ask me: Why do I want everybody to learn some statistics? The answer is that too many people read explanations. We cannot instinctively understand the nonlinear aspect of probability.
