Steve Mayo![]() Legend ![]() ![]() ![]() ![]() Posts: 414 Joined: 10/11/2012 Location: Austin, TX ![]() | 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. |