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.
Please send the strategy to firstname.lastname@example.org, I can check the results
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