Comments on: e-ratio: How to measure your trading edge in 4 easy steps

By: Jez

Jez — Thu, 12 Aug 2010 07:18:16 +0000

montechristo,
Conceptually it is easier to grasp the idea that the e-ratio compares the average MAE to the average MFE, hence that step in the calculation – however, I’ll give you that mathematically this is completely equivalent to comparing (and dividing) Total MAE with Total MFE (and step 3 can be considered “optional”

By: montechristo

montechristo — Thu, 12 Aug 2010 06:48:27 +0000

Hi Jez,
Could you clarify one point:
You say to divide MAE and MFE by the number of trades and then divide average MAE by average MFE. But (MFE/n)/(MAE/n) is equal to MFE/MAE. So E-ratio is not linked to the number of trades and you don’t have to caculate the average of MFE and MAE or I missed something ;-)

By: Bharaata

Bharaata — Sun, 09 May 2010 16:29:16 +0000

Fabulous article and demo . Awesome.

By: The “e-ratio” system measurement | Flirting With Models

The “e-ratio” system measurement | Flirting With Models — Mon, 02 Nov 2009 13:17:35 +0000

[...] for interesting system measurements, I stumbled across the “e-ratio,” described here. The concept is to graph your normalized (volatility-adjusted) MFE (maximum favorable excursion) to [...]

By: Jez

Jez — Sun, 01 Nov 2009 11:13:20 +0000

Thanks – I’ll check it out.

By: Millward

Millward — Sun, 01 Nov 2009 11:05:16 +0000

This is very handy.

http://www.ashraflaidi.com/forex-news/

By: Millward

Millward — Sun, 01 Nov 2009 10:56:19 +0000

Hi Jez,

You pretty well have the algo side of blogs covered, its difficult to find good ones under this genre, but will do.
Cheers.

By: Jez

Jez — Sun, 01 Nov 2009 10:26:40 +0000

Millward,
Glad it helps..
If you have any other blogs that you think might be of interest for the blogroll, please let me know.
-Jez

By: Millward

Millward — Sun, 01 Nov 2009 04:10:28 +0000

Thanks for another great article, I’m in the rudimentary stage of building and algo for the futures, mainly specializing in FX, and your blog is a perfect fit for my daily quest for knowledge in this field.
I just noticed in your blogroll the aggregate link to all you perfered blogs, excellent collection.

thanks again, cheers