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Average Output Per Month

by The trader, 3557 days ago
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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.

You can also use the Average Output Per Year, which uses almost the same calculation as the current one. However, it produces a yearly average. The Output metric for each trading year displays the same result for each trading year.


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Type: Rule Metrics

Object ID: 410


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