On Sep 23, 7:50 pm, nonlinear5 <[EMAIL PROTECTED]> wrote:
> > Incidently, PI is very close to Van Tharp's SQN (system quality
> > number),
> > which he uses to compare systems.
>
> I was looking for a reference to SQN to see how it's calculated, but
> could not find the actual formulas. Got a link, rickty?
C&P from http://www.ninjatrader-support.com/vb/showthread.php?t=4320
The only way to seriously qualify and optimize any system is through
its System Quality Number (SQN). I advice you to refer to Van Tharp
for reference on the subject.
Assuming a set of N trades (N>30 for being statistically significant),
SQN is defined as follow:
SQN= Squareroot(N) * Average (of the N Profit&Loss) / Std dev (of the
N Profit&Loss).
The large the N, the more trading opportunities you have.
The large the average P&L, the better you are obviously.
The smaller the Std dev (P&L), the more regular are your results and
the smaller are the drawdowns.
Note here that if you optimize for the largest SQN, you maximize in
fact the product N*average P&L and you minimize the Std dev (P&L) and
the drawdowns at the same time.
--~--~---------~--~----~------------~-------~--~----~
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
-~----------~----~----~----~------~----~------~--~---
