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Steve Mayo

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Subject : RE: What's your favorite risk-return measure?
Posted : 4/14/2014 2:40 PM
Post #29791 - In reply to #29790

You lost me Gerry. Can you explain?
How does that differ from these?
Expectation of Loss= %Losses (1- hit rate) * average of the period (monthly/weekly) losses
Expectation of Gain = %Wins (hit rate) * average of the period gains
Volatility-adjusted return{ = avg. period return / stdev of avg period return
Risk-adjusted return = avg. period return /% losses * avg period loss

Remember, this is the EVALUATION function -- for deciding which permutation to select for walk-forward testing...and it only has the EOD equity to work with. Conversely, the SWITCHING function is standard OmniScript and it can do much more complex calculations.
Deleting message 29791 : RE: What's your favorite risk-return measure?


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