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Amibroker performance metrics

Tradermen

By Tradermen
in Trading Systems and Strategies

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Tradermen

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Anyone know how to code this three performance metrics in amibroker?

 

Tail ratio = percentile(returns, 95%) / percentile(returns, 5%)

 

Gain to Pain Ratio = Sum(profits) / Sum(losses)

 

Common Sense Ratio = Tail ratio * Gain to Pain Ratio

  • 3 weeks later...

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