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Working with Results in the Laboratory

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#1 Guest_Support TSLab_*

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Posted 29 January 2014 - 07:26 AM

Profit Factor = Profit / Loss
Recovery Factor = P/L / Max. Loss
Payoff Ratio = Average Profit / Average Loss
CAGR = please follow this link for details
The same formula can be applied to the month, but the power should be equal to the number of months.  

Calculating the Drawdown

The drawdown calculation is based on the initial deposit. If the initial deposit is unknown, it is considered to be equal to the open price of the first history candle. The maximum profit is fixed after every closed position (via MFE position).

If the current profit is bigger than the one fixed before, the value will be updated. Therefore, the loss calculation is based on this value.

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