R expectancy

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”

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));

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

Thank you.