Can anyone tell me how to calculate system quality number in a custom backtest proc?
I understand the math and the formula SQN = (Expectancy/Standard Deviation R) - SqRoot(Number of trades) Where I'm stuck is how to calculate the Standard Deviation of R within a CustomBacktestProc? If this has been discussed before perhaps someone could point me to the post, but I've not found anything with searches of the message boards. Many Thanks Jeff
