>
>
> PI and Kelly (and in my case the added drawdown ratio), taken together as
> combined measurement of CPI, should be as performance index good enough for
> the moment.
>
> What do you think, Eugene?
>
>
Agreed. I've experimented with different CPI implementations, and came to
the conclusion that the most stable and meaningful performance metric is
the one that includes PI and Kelly. Here is my current CPI implementation:
public double getCPI() {
double performanceIndex = getPerformanceIndex();
double kellyCriterion = getKellyCriterion();
kellyCriterion = kellyCriterion >= 0 ? Math.sqrt(kellyCriterion) : 0;
return performanceIndex * kellyCriterion;
}
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