R expectancy

2 replies

JerKha

Subscriber, bbp_participant, customer, community, sq-ultimate, 7 replies.

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3 weeks ago #279401

Hi everyone,

As I am currently figuring out all metrics from https://strategyquant.com/doc/strategyquant/results-overview/strategy-analysis-metrics/

I was wondering something about R Expectancy as it is expenctancy divided by risk, how risk is calculated ?

It says “maximum potential loss of trade” but it isn’t clear for me. Is Risk here the :

 

A. “maximum potential loss of A trade”

or

B. “average of the maximum potential losses of ALL trades”

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tomas262

Administrator, sq-ultimate, 1 replies.

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3 weeks ago #279417

Hi,

you can easily read the formulas for statistics used in SQ. Just open the CodeEditor and read the logic under \internal\extend\Snippets\SQ\Columns\Databanks

For the expectancy it is Rexpectancy = netProfit / (numberOfTrades * Abs(avgLoss));

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JerKha

Subscriber, bbp_participant, customer, community, sq-ultimate, 7 replies.

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2 weeks ago #279426

I didn’t knew about CodeEditor, that helps a lot.

Thank you.

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