Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
I'm currently exploring the use of a few optimizers, and I have taken a look at the rationale behind the Expectancy Score, which appears pretty decent. So thanks for coding it up.
I did notice that the Expectancy Score does not appear to take commissions or slippage into account when calculating winsAmount or losesAmount.
Was the exclusion of commission and slippage on purpose?
It seems to me that we should be optimizing to a net expectancy score as opposed to a gross expectancy score.
What are your thoughts?
Thanks,
Aventeren
Here is the code for those that have not downloaded the .cs file.
@rickt - Replying to your post about dividing by AvgLoss vs. dividing by Std(TradeResults), I think that the latter gives a sense as to the likelihood that the TotalProfit occurred by chance or due to a true edge. This van Tharp approach strikes me as just a variation of the Sharpe Ratio (for good or ill).
In contrast the division by AvgLoss gives you what your results would look like over an extended period in terms of how much better your gains did over your losses, provided your system makes it over that extended period.
I like to analogize this to betting on the race car driver that wins the most races in a season as opposed to the one that is the wildest, fastest driver in the season's first three events but then crashes out in flames.