• Registered: 2017-06-16
  • Posts: 109

Topic: Additional Account Statistics

Hello Community,

I was looking at the way I analyze trading systems - and realized I wasn't putting enough emphasis on draw downs (especially vs growth).  This seems to be one key in analyzing one trading system vs another. Falling down the rabbit hole of research - I have come across 2 ratios (very similar) which could help with this.   1) Calmar Ratio , or 2) MAR ratio.

https://www.investopedia.com/terms/c/calmarratio.asp
https://www.investopedia.com/terms/m/mar-ratio.asp

I was wondering if anyone has modified the account statistics file to include this?  (and they wouldnt mind sharing) or if this is something that could be added easily? 

Also - I would love to hear how you make a decision on comparing trading systems - what do you look at?

Happy Trading,

PT

  • Popov
  • Popov
  • Lead Developer
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  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,969

Re: Additional Account Statistics

Interesting.

The MAR ratio must be strongly correlated to other performance stats. The power coefficient only scales the value.

The Calmar is more interesting because it actually counts after the biggest DD. I cannot imagine why I will wont stats from after the DD only. Probably it is a great marketing parameter for their portfolio smile .  Ohh the big DD ... It will never happens again... See how good we are since than wink haha

I simply don't see the point. Probably it is some measure of the recovery capability of a strategy.

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