</> Codebase - Columns

This snippet shows you the value of ATR(14) at the time the position was opened.

Snippets used in blog post: Multimarket analysis in SQX

Net Profit / Avg DD Ratio

Annual Return % / Avg DD % Ratio

Ratio of CAGR in % and average DD in %

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

In the newest version of StrategyQuant X – build 131 we added the ability to work with the ATR(14) value in a moment of position opening. This value can be accessed via field order.ATROnOpen, which is a key feature for using the EDGE ratio tool.

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

Generation Column

Bundle of databank column snippets which can help you identify Exit Methods used in the strategy. Second file is Exit Complexity - databank column which returns a summation of the used exit methods.