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</> Codebase - Databank / Filter

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

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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...

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Sortino Ratio

The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from tot...

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Biggest MAE on multiple trades

We have a snippet called "Biggest MAE". It is very useful to see how a strategy with a single orde...

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Avg. Hours in Trade

Hours/Number of trades...

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CAGR% / Avg DD % Ratio

Ratio of CAGR in % and average DD in %...

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Edge Ratio in Pips Based on Median

This is Edge Ratio in pips but instead of averaging MFE and MAE values by the arithmetic mean, I've ...

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Edge Ratio

EDIT 31.1.2022 EDGE RATIO IS NOW PART OFS SQX YOU CAN FIND IT IN CODE EDITOR IN DATABANK SNIPPET...

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MAFE Profit Factor

Profit Factor which includes MAE and MFE as well as PL....

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Generation

Generation Column...

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Exit Methods Snippet Bundle

Bundle of databank column snippets which can help you identify Exit Methods used in the strategy. S...

StrategyQuant is analysis and strategy-development software. We are not a broker or investment advisor – we do not execute trades, hold client funds, or provide investment advice.

Risk Disclosure:
Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

Hypothetical Performance Disclosure:
Hypothetical performance results have many inherent limitations, some of which are described below. no representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.

Testimonial Disclosure:
Testimonials appearing on www.strategyquant.com may not be representative of the experience of other clients or customers and is not a guarantee of future performance or success.