Estimate a Trade Signal edge via the e-ratio

Quote from JezLiberty:

if you know a way to link a thread to multiple forums to avoid duplication please let me know...
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I'm sure the moderator would prefer you select the single most suitable thread.
 
Quote from Rodney King:

I'm sure the moderator would prefer you select the single most suitable thread.
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looks like it since my other thread has gone - with the initial message:

I was wondering who uses the e-ratio in their strategy research and what your experience of it is?

It sounds like a great tool to test a signal independently from anything else (ie position sizing, exit, etc.) and focuses solely on the entry signal. Whereas to test a system the exit always has an influence on the overall performance

Basically the e-ratio only measures how well a trade could be doing after a signal is generated versus how bad it could do (ie clever ratio of overall MFE and MAE).
The formula to calculate the e-ratio is fairly simple..

It does not look like the ultimate testing strategy but like a very good addition to a trading system developer toolbox
 
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