> The short version is calculate returns/stdev(returns)^2. Where the returns > are 1.05 for a 5% win and 0.95 for a 5% loss. The result can be > 1 for a > good system. >
Correction: returns are 0.05 for a 5% win and -0.05 for a 5% loss. The result will be negitive if the system is loosing money.
