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This powerful profit factor punishes strategies for intratrade drawdown. You can read more about it here. It’s based on this implementation from clonex which had two shortcomings I tried to

I modified the original Stagnation code to use an average stagnation (daily basis) as the metric, for 2 reasons: 1. To know on average how many days before a new

The K-ratio is a statistical metric that measures the growth of return and the consistency of that growth over a specified period. It takes into account both the returns themselves and the order of those returns.

Here my first share. Seen it and coded from the article here : mastering-the-art-of-trading-metrics-an-interview-with-bozhidar-bozhkov-on-normalised-profit-factor Summary : 1. It works even when profits or losses are zero. 2. It gives a

This Java snippet adds a new databank column functionality and allows you to calculate the number of trades of all combinations of a WF Matrix.

This new code chooses the greater Drawdown (Max Intraday Drawdown or Trade Drawdown).

A four decimal profit factor that can be summed or averaged properly with a zero baseline.

Strategy Metrics Out Of Sample / In The sample Ratios

Timothy Masters Internal Profit Factor

83 Additional Markets Strategy Metrics Average Values snippets