Basic metrics

Sharpe ratio

Sortino ratio

Volatility

Semi-Deviation

Average Drawdown

Maximum Drawdown

Calmar ratio

Advanced metrics

VaR

CVaR

Entropic Risk Measure

Entropic VaR

Conditional Drawdown-at-Risk

Ulcer Index

Mean Absolute Deviation

Sharpe ratio

Sortino ratio

Volatility function

Semi-Deviation function

Average Drawdown

Maximum Drawdown function

Calmar ratio

Value-at-Risk (VaR)

Conditional Value-at-Risk (CVaR/ES)

Entropic Risk Measure (ERM)

Entropic Value-at-Risk (EVaR)

Conditional Drawdown-at-Risk (CDaR)

Ulcer Index

Mean Absolute Deviation