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Per Trade SQN100
by Dave Walton, uploaded several months ago

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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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review no reviews Number of downloads 7 downloads Notes Report an item
System Quality Number (SQN)
by Dave W., uploaded several months ago

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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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review no reviews Number of downloads 6 downloads Notes Report an item
Average Output Per Month
by The trader, uploaded several months ago

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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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review no reviews Number of downloads 18 downloads Notes Report an item
Average Output Per Year
by The trader, uploaded several months ago

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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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review no reviews Number of downloads 18 downloads Notes Report an item
Output metric for each trading year
by The trader, uploaded several months ago

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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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review no reviews Number of downloads 14 downloads Notes Report an item
Time Under Water - Drawdown
by The trader, uploaded several months ago

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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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review no reviews Number of downloads 13 downloads Notes Report an item
Average Maximum Drawdown
by QuantShare, uploaded several months ago

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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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review no reviews Number of downloads 24 downloads Notes Report an item
Average Growth Rate
by QuantShare, uploaded several months ago

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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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review no reviews Number of downloads 19 downloads Notes Report an item
Per Symbol Average Output
by The trader, uploaded several months ago

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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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review no reviews Number of downloads 23 downloads Notes Report an item
Holding period return - classifying positions
by The trader, uploaded several months ago

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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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review no reviews Number of downloads 27 downloads Notes Report an item
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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.