August 25, 2021

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Edge Ratio in Pips Based on Median

This is Edge Ratio but instead of averaging MFE and MAE values by the arithmetic mean, I’ve used medians. The biggest advantage of using medians is the ability do handle outliners and skewed distributions.

 

More about the Edge ratio you can find here: https://strategyquant.com/blog/edge-ratio-in-strategyquant-x/

 

This snipper requires import org.apache.commons.math3

 

Step by step tutorial how to do it you can find here: https://strategyquant.com/doc/programming-sq/using-custom-jar-libraries/

 

 

In short:

 

All you need to do is to copy your JARs ( extracted from jar_files.zip file in attachment)  into /user/libs folder in your StrategyQuant installation and after restart of SQ you should be able to call them in snippets.

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