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Calculates the SQN100 (see work of Dr. Van Tharp) as if the per position "Output" is the trade result. This is different from the other rules analyszer metric named SQN in that the sample standard deviation calculation is used vs. the built-in Standard deviation. The result of...
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Rule Metrics
Basic
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Dr. Van Tharp's System Quality Number (SQN) metric.
SQN measures the relationship between the mean (expectancy) and the standard deviation of the R-multiple distribution generated by a trading system. It also makes an adjustment for the number of trades involved. Dr. Tharp has determined that the better the SQN, the easier...
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Rule Metrics
Medium
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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...
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Rule Metrics
Medium
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I have just uploaded a rules analyzer metric script, which can be found here: 284. This script produces several metrics, one for each trading year.
The current script creates only one metric, which is the average 'output per bar' for all years. The metric is not the same as the default...
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Rule Metrics
Medium
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This rules analyzer metric script produces several metrics, one for each year in the analysis period. Its task is simple, it calculates the 'Output per bar' value, the same way QuantShare calculates it, but instead of producing one 'Output per bar' metric for all the trading period, it produces a...
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Rule Metrics
Medium
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The maximum drawdown is a popular measure of the maximum amount an investor can expect to lose. It is used as a measure of riskiness of a trading strategy.
Another measure of a trading strategy's riskiness is the Time under Water.
The Time under water is derived from the calculation of...
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Rule Metrics
Advanced
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The average maximum drawdown is a rules analyzer metric described in the following post: The average maximum drawdown metric . It calculates the maximum drawdown (the maximum an output can lose) of each symbol or security output and then averages the result.
If you are analyzing for example a list...
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Rule Metrics
Medium
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This metric is calculated in two steps:
- For each symbol, position returns are transformed then multiplied. The resulting value is the growth rate of the strategy equity for a particular symbol.
- The growth rates (for each symbol) are averaged.
The first step calculates the trading rule real performance for each...
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Rule Metrics
Medium
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This rules analyzer metric calculates the average output of each analyzed rule and on a per-symbol basis. The standard average output adds up the outputs generated by all the positions for all securities then divides this value by the number of positions.
The current metric adds up the outputs separately for...
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Rule Metrics
Advanced
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This item creates three metrics when analyzing a list of trading rules.
The object classify trading rules output or return into three categories.
The categories are:
Position whose holding period is below 10 bars
Position whose holding period is below 40 bars ...
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Rule Metrics
Medium
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