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SQN Score and Expectancy calculated incorrectly

4 replies

4 years ago #247317

Hi there,

Is the calculation of SQN Score right? I get a score of -4.51, see attached strategy and config file. My own SQN calculations give values as 2.42 or 1.08 (assuming the max of 100 trades).

I might go wrong with calculating the expectancy. According to the book of Van Tharp the expectancy is the average R, which is something different as the formula used here. The formula used here is from his first book, namely (Probability of Win * Average Win) – (Probability of Loss * Average Loss) . On page 18 of his book “definitive guide to position sizing” he writes that this formula is incorrect because expectancy really should e the average profit per dollar risked.

It is best to just divide the profit/loss by the risk per trade and take the average of this to calculate the expectancy.

SQN and Expectancy

4 years ago #247320

Hi Venus,

Maybe you should report it as a bug in order to be fixed by the dev team

4 years ago #247324

Please send the strategy to [email protected], I can check the results

4 years ago #247333

Hi Enric,

Good suggestion, i have created a bug. See this link: https://roadmap.strategyquant.com/tasks/sq4_5314

Votes are very much appreciated …

Kind regards,

Arne

4 years ago #247358

Done! 😉

Viewing 4 replies - 1 through 4 (of 4 total)

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