I agree the current PI is a function of PF. The useful thing is the standard deviation PER DAY, because different strategies have different frequent of trading.
On Sep 10, 11:36 pm, dyno <[EMAIL PROTECTED]> wrote: > 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 -~----------~----~----~----~------~----~------~--~---
