> correct OK, in the next release PI will be calculated as Dyno suggested: PI = SQRT(trades / days) * aveProfit / STDV
where trades = number of trades in the test period days = number of days in the test period aveProfit = average profit per trade over all the trades in the test period STDV= standard deviation of all the trades in the test period For accuracy, I'll also note that this is not really Sharpe's ratio. First, Sharpe's ratio deals with percentage returns, and second it also uses risk-free rate of return. However, for our purposes (of comparing strategies with each other), I think PI will be representative and useful. Kelvin, do you also agree with this formula? --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
