Sometimes I’m looking for something to engage with that’s interesting but not too demanding, so this evening I picked up a copy (Kindle) of Ernie Chan’s Machine Trading. With books like this I don’t have to work too hard trying to understand how code works, and can just think about various ideas related to trading. For instance he’s now discussing performance metrics, and how he prefers the Calmar Ratio to the Sharpe Ratio because it deals better with the fat-tailed distribution of returns common in trading financial instruments. I must admit I use the Sharpe ratio a bit, but perhaps I should rethink that. Calmar Ratio takes into account maximum drawdown, and indeed large drawdowns are the bane of trading, especially crypto trading.