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BH Ergodic

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

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

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

This snippet will help you to answer the question, how often did I get a particular losing sequence in my strategy.

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

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

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

Sets Stop Loss to a specified level except for one order : 'Magic Number Excluded'

Close All positions except one