In your example of your trading system, you would not really capture what is going on during the life of the trade (ie MAE, MFE) just the trade P&L. I don’t think it’s a revolutionary measure but I see it as a more independent edge measure for a system component.

And no worries about the questions. They are all welcome!
Cheers
Jez

I received this through the TS forum some time ago but I’ve finally got up to speed enough to properly review it. You’ve put a lot of work into getting Faith’s e-ratio system into TS and it appears to work well, thanks for sharing.

I hope you wont mind me asking some questions on the usefulness of the code however (which are more questions for Curtis Faith than you I suppose, but your thoughts would be useful). Do you find the e-ratio useful for evaluating systems? It doesnt seem to me to add an awful lot more insight than just a time stop parameter within an ATR adjusted system. If you optimise using the time parameter you will then get similar information. It strikes me that it might just be an addendum to Faith’s other useful evaluation measures (RAR, 5 max DDs), which I find useful.

Is this roughly correct or am I missing something (hopefully I wont be causing offence with any of these comments, as I see you have worked very hard on the code).

Thanks in advance
Ian

Calculating the e-ratio this way with TradersStudio works but the optimizer run takes way too long for any volume testing (ie over 2-3 hours for running the same strategy over 100 times – which is required to give you one curve of the e-ratio). You can see that it is not really scalable if one wants to increase the number of systems tested.

I was planning on featuring a speed comparison between the 2 platforms for computing the e-ratio for the same underlying data and same system so I will let you know..

Also I was doing some google research to see if people had compared both platforms and found 2 webpages with droskill’s take on both – might be of interest to you:
mail-archive.com
elitetrader

You mentioned something about AmiBroker. Woodshedder prefers it and it would be interesting to see a comparison of the two by real traders. Keep us posted if you look into AmiBroker.