Average Recovery Time (ART)
This is the average time in a recovery from a drawdown measured from the low point of the drawdown to a new peak. If a trading program is in an on-going drawdown, for purposes of calculating the ART we assume that the current drawdown is over.
- Standard Deviation Monthly Returns definition
- Sharpe Ratio definition
- Barclay CTA Index definition
- Time Windows definition
- Equity Market Neutral definition