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StrategyQuant X platform codebase – a place to share coded customizations and extensions – among all users.
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Return / Max Drawdown (Max Intraday Drawdown or Trade Drawdown)
This new code chooses the greater Drawdown (Max Intraday Drawdown or Trade Drawdown).
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Symmetrical Profit Factor and Score
A four decimal profit factor that can be summed or averaged properly with a zero baseline.
profit factor
Columns
Strategy Metrics Out Of Sample / In The sample Ratios
Strategy Metrics Out Of Sample / In The sample Ratios
oosisratio
oos
is
out of smaple
in the sample
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Timothy Masters Internal Profit Factor
Timothy Masters Internal Profit Factor
Timothy Masters Internal Profit Factor
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Additional Markets Strategy Metrics Average Values
83 Additional Markets Strategy Metrics Average Values snippets
strategy metrics
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Number of Profitable Additional Markets
Shows the number of profitable additional markets. I just made some small changes to one of Clonex's columns so yeah he did most of the work.
additional markets
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Profit Factor / MC: Retest 95% Profit Factor Ratio
Profit Factor / MC: Retest 95% Profit Factor Ratio
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Profit Factor / MC: Manipulation 95% Profit Factor Ratio
Profit Factor / MC: Manipulation 95% Profit Factor Ratio
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Avg. DD Pct. / Avg. Net Profit Pct. Ratio
Avg. DD Pct / Avg Net Profit Pct. Ratio
databank column
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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