# </> Codebase - Databank / Filter

StrategyQuant X platform codebase – a place to share coded customizations and extensions – among all users.

Columns > Databank / Filter

## Drawdown % of Initial Capital

When evaluating strategies, it useful to consider the maximum drawdown as a percentage, not only respect to the previous high, but to the initial capital, as theoretically, the maximum drawdown

**1**

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## Annual % Return / Max. Drawdown % of Initial Capital

When evaluating strategies, it useful to consider the maximum drawdown as a percentage, not only respect to the previous high, but to the initial capital, as theoretically, the maximum drawdown

**1**

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## Cochran’s Formula : the number of samples (copy)

it is important to define the number of samples (trade) necessary for a correct reliability of the performances and related metrics.

Cochran's Formula

statistics number

minimum number of samples (trade)

**2**

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## Average of all Additional Markets

Average of all Additional Markets : Drawdown, AnnualPctReturnDDRatio, NetProfit, NumberOfTrades, ProfitFactor, ReturnDDRatio, RExpectancy, SortinoRatio, UlcerIndex, WinningPct, SharpeRatio

AnnualPctReturnDDRatio

Additional Market

SharpeRatio

NetProfit

NumberOfTrades

ProfitFactor

ReturnDDRatio

RExpectancy

SortinoRatio

UlcerIndex

WinningPct

Drawdown

**0**

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## Average of all Additional Markets with the main results

Average of all Additional Markets with the main results : Drawdown, AnnualPctReturnDDRatio, NetProfit, NumberOfTrades, ProfitFactor, ReturnDDRatio, RExpectancy, SortinoRatio, UlcerIndex, WinningPct, SharpeRatio

additional markets

AnnualPctReturnDDRatio

SharpeRatio

NetProfit

NumberOfTrades

ProfitFactor

ReturnDDRatio

RExpectancy

SortinoRatio

UlcerIndex

WinningPct

Drawdown

**0**

Columns > Databank / Filter

## Cochran’s Formula : the number of samples

it is important to define the number of samples (trade) necessary for a correct reliability of the performances and related metrics.

Cochran's Formula

statistics number

minimum number of samples (trade)

**2**

Columns > Databank / Filter

## Robusteness Index – Tradestation

Robustness Idx Avg The Robustness Index is displayed in the Strategy Optimization Report and measures the gradient of the equity curve on the out-of-sample data relative to the gradient of the equity curve on the in-sample data. For example, a Robustness Index of > 100% means the strategy performed better on out-of-sample data than on in-sample data. A Robustness Index of 50% means that the gradient of the out-of-sample equity curve was 50% of the gradient of the in-sample equity curve; given equal time periods, the out-of-sample performance (on unseen data) was only half as good as during the in-sample (seen data). A Robustness Idx Avg of less than 50 suggests that the strategy being optimized is having difficulty to perform profitable on unseen data thus caution should be exercised before implementing the strategy in real-time The formula for Robustness Index is: Gradient of out-of-sample equity curve / Gradient of in-sample equity curve x 100%. http://help.tradestation.com/09_01/tradestationhelp/optimize/robustness_idx_avg.htm

Robusteness Index - Tradestation

**4**

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## Rina Index Perfomance

The RINA Index rewards strategies that spend less time in the market, decreasing the inherent market risk.

RINA Index

Rina Index Perfomance

**4**

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## Walk Forward Optimisation Metrics

Snippets designed for better evaluation of WFO process. Idea behind this you can find in this series: Algorithmic Backtesting & Optimization for Alphas I will add blog post soon.

wfo

optimisation

**0**

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## Sortino Ratio

The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative portfolio returns—downside deviation—instead of the total standard deviation of portfolio returns. The Sortino ratio takes an asset or portfolio's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino. Source: https://www.investopedia.com/ CREDIT: Acerbi

sortino ratio

risk

ratio

**1**