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The Average Output per Month is a script metric for the rules analyzer plug-in. It loops through all the generated positions and calculates the average output value for each month. It then averages these values to produce a unique metric, which is the average output per month.
The advantage of using this metric is to reduce the impact of high outputs during a short period.
For example, if the rules analyzer produces four positions, where three of these positions occur on the same month and produce the following outputs (2%, 1.5%, 1%), and the last position generates an output of -1%.
The Average Output would be the average of these four outputs (2%, 1.5%, 1%, -1%), which is equal to 0.875%.
The Average Output per Month metric will first average the outputs per month. Therefore, for the first month we have 1.5% ((2 + 1.5 + 1) / 3), and for the second month we have -1%. The final result would be 0.25% (Average of 1.5% and -1%). Note that there is a huge difference in the average output.
The metric does not work with raw output values, but rather with outputs per bar, which are simply calculated by dividing the raw output value (Example: Return for the next 10 bars) by the holding period of the position (Using the same example, the holding period here is 10 bars).
Given two trading rules where the first have a better average output value, while the second have a better average output per month. It is more likely that the second rule generates a better and more profitable trading system than the first one.
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.