System Achievement Score

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Quote from kut2k2:

Here's what I hope is the final upgrade to the System Achievement Score :

SAS == 4*k*max[ 0, E ]*PF*min[ 1, N/1000 ] ,
where
k is the solution to the Kelly equation (see the OP),
E is the expectation (%/100),
PF is the profit factor (see below),
N is the number of trades in the performance evaluation.

PF is the ratio of the gain total to the absolute value of the loss total.

PF == sum[ max[ 0, Ri ] ]_i=1toN / sum[ max[ 0, -Ri ] ]_i=1toN
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It has been pointed out to me that what I described is not, strictly speaking, the profit factor.

The profit factor (PF) is the ratio of gross profits ($) to gross losses ($).

What I described above (the ratio of the sum of all positive returns to the absolute value of the sum of all negative returns) is better called Omega Zero (OZ). Technically speaking, OZ is the value of the trading system's Omega function (aka Omega ratio aka Omega measure) when its return threshold equals zero.

PF and OZ are identical when and only when the trade size is a constant dollar value over all trades in the evaluation. If the trade size varies in dollar value between trades in the evaluation, then PF and OZ become different numbers.

So the final version of the SAS contains two key elements of the trading system's Omega function: Omega Zero and the expectation, which is the return threshold when the Omega function equals one.

Enjoy. :)
 
dom993 said:
Take 10 strategies, do a manual ranking of them based on your gutfeel / preferences / etc, then look for formulas that will rank them accordingly.

Include CL always-in / 1 contract in the mix if you want.
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You have a 0.25 Kelly. So see what your friends have to see who is the better trader!
 
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