Hi all,
A discretionary trader new to Traders Studio and have a couple of questions if anyone would shed some insight.Came across an interesting topic in Elite Trader on System Results.Essentially the question was asked what is the "single best "risk metric to evealuate a trading systems results.
Most posters felt that a "modified Sharpe" (modified sharpe = average trade return / standard deviation of trade return) was superior to Sharpe as the traditional method penalizes large positive returns.
Another metric mentioned was recovery factor. "It takes implicitly into account not only all the individual trades and their variability, but also the time sequence in which they occurred because max drawdown is considered in it. The same set of trades could have produced a very different equity curve if they had occurred in a different order.
If you look at an EQ curve with a very high RF you can see immediately that it's highly correlated to its linearity."
Any insight appreciated....