サミュエル（ティモシー・マスターズ）の内在する「Profit」ファクター

This powerful profit factor punishes strategies for intratrade drawdown. You can read more about it ここ.

It’s based on this implementation from clonex which had two shortcomings I tried to improve:

• SQ got slowed down a lot which made it pretty much unusable. My version uses a LRU cache for the symbol data and can thereby prevent costly HistoryDataLoader loads
• From what I saw, the IPF values were sometimes positive for a negative net profit. This makes me think that the implementation was bugged. This version should work as expected

Important: This column can not be used when working with SQ data, as we are not allowed to load the data with the HistoryDataLoader due to licensing.

Happy trading!