This is a trading item or a component that was created using QuantShare by one of our members.
This item can be downloaded and used by QuantShare Trading Software.
Trading items are of different types. There are data downloaders, trading indicators, trading systems, watchlists, composites/indices...
You can use this item and hundreds of others for free by downloading QuantShare.
Top Reasons Why You Should Use QuantShare:
Works with US and international markets (stock, forex, options, futures, ETF...)
Offers you the tools that will help you become a profitable trader
Allows you to implement any trading ideas
Exchange items and ideas with other QuantShare users
Our support team is very responsive and will answer any of your questions
We will implement any features you suggest
Very low price and much more features than the majority of other trading software
This MM scrip adds many system statistics and per trade metrics to help compare trading systems. Most of the calculations are done in terms of R (defiend as initial risk).
Trade Statistics:
Total R - P/L in terms of R
Expectancy (R)
SQN (n) - System Quality Number = expectancy(R)/stdev(R) * sqrt(num trades)
SQN100 - SQN normalized to 100 trades
T-score of returns - avg(perf)/stdev(perf) * sqrt(num trades)
Average Win (R)
Average Loss (R)
Largest Win (R)
Largest Loss (R)
Average Win MAE (R)
Average Loss MAE (R)
Largest Win MAE (R)
Largest Loss MAE (R)
Average Win MFE (R)
Average Loss MFE (R)
Largest Win MFE (R)
Largest Loss MFE (R)
Profit Factor (R)
Performance Ratio (R)
Payoff Ratio (R)
Largest Win (R) / Total R
Longest # bars between new equity highs
Longest # trades between new equity highs
Average # bars between new equity highs
Average # trades between new equity highs
% trades making new equity highs
% bars making new equity highs
Equity Curve R-Squared
R per Day
Daily SQN - SQN calculated using # of average closed trades per day
Opportunity (Day)
Expectunity (R) (Day)
Percent Inactive Days - number of days without closed trades
SQN (n) of Daily P/L (n = number of days in backtest)
SQN100 of Daily P/L
R per Week
Weekly SQN - SQN calculated using # of average closed trades per week
Opportunity (Week)
Expectunity (R) (Week)
Percent Inactive Weeks - number of weeks without closed trades
SQN (n) of Weekly P/L (n = number of weeks in backtest)
SQN100 of Weekly P/L
R per Month
Monthly SQN - SQN calculated using # of average closed trades per month
Opportunity (Month)
Expectunity (R) (Month)
Percent Inactive Months - number of days without closed trades
SQN (n) of Monthly P/L (n = number of months in backtest)
SQN100 of Monthly P/L
R per Year
Yearly SQN - SQN calculated using # of average closed trades per day
Opportunity (Year)
Expectunity (R) (Year)
Percent Inactive Years - number of days without closed trades
SQN (n) of Yearly P/L (n = number of months in backtest)
SQN100 of Yearly P/L
Per trade Metrics:
Margin% - % of account margin used
Entry Price - entry price of position
Exit Price - exit price of position
Risk - $ amount risked per trade
Risk% - %risked of total account per trade
R-Mult - trade P/L in terms of initial risk
MAE (R) - MAE in terms of R
MFE (R) - MFE in terms of R
n Tr Avg R - rolling average R for the last n trades (n is user defined)
n Tr SQN - rolling SQN for the last n trades (n is user defined)
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.
