The current performance index is some what redundant because it can be derived from profit factor. it is equal to 100% * (f-1)/(f+1) where f is profit factor. If profit factor is 1.5, you will see a performance index of 20%
I suggest to add Sharpe Ratio for risk adjustment as a new risk index or as a replacement for the old performance index. Sharpe Ratio = average profit per trade / standard deviation of all the gain and loss The standard deviation represents the risk. If the gain/loss distribution is Gaussian, cumulative distribution function can be used to determine the profit possibility. For example, if Sharpe Ratio is 1, the possibility of loss in a trade is (1-2 * 34.1%) / 2 = 16%. --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [EMAIL PROTECTED] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
