Welcome to Jez Liberty's home for sharing research and insights on automated trading systems development. 
I recently posted about the e-ratio as a tool to measure parts of a trading system (the code files to compute the e-ratio in TradersStudio and Excel are also available). The e-ratio is supposed to be a quick tool to check how signals might add some edge to a trading system. However computing the e-ratio [...]
Entries Tagged as 'edge'
e-ratio calculation in TradersStudio and Excel
November 2nd, 2009 · 4 Comments · Backtest, Code, Development, Software
Here is one method to implement an e-ratio calculation.
As we say in developerspeak, the following is a quick and dirty approach to calculating the e-ratio. But as far as I am concerned, it does the job! It can probably be programmed more elegantly in TradersStudio but I still have to climb some of that software [...]
Tags: e-ratio·edge·excel·tradersstudio
e-ratio: How to measure your trading edge in 4 easy steps
October 30th, 2009 · 7 Comments · Backtest
e-ratio is a metrics that measures the edge of a trading system component. For example, we could use it to quantify the edge gained from a donchian channel breakout entry signal.
The concept
The e-ratio quantifies the edge by calculating the overall amount trades go in your favor versus the overall amount trades go against you. The [...]
