Correct! This is what I mentioned before as Sinal to noise ratio (SNR), which is the optimal criterion in continuous gambling system( Kelly criterion is only optimal for discrete gambling). I totally agree with this fomula to calculate PI.
On Sep 11, 9:03 pm, nonlinear5 <[EMAIL PROTECTED]> wrote: > > 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 -~----------~----~----~----~------~----~------~--~---
