I heard about the Serenity Ratio on one of the Top Traders Unplugged podcast, which can be an alternative to the Ulcer Index, Sharpe Ratio, and Pain Index.
I am wondering if anyone has the calculation for this? I know this is higher-end stuff used by portfolio managers, but I would like to evaluate this metric against other performance metrics/fitness functions we use. Before going down the rabbit-hole and getting in way over my head, maybe this has been.
Here is a whitepaper published by KeyQuant, covering the topic for those interested:
An Alternative Portfolio Theory (