Not sure how to handle this but I would like to start a thread that is relevant to 2 forums... I have started a thread discussing the edge ratio in there: http://www.elitetrader.com/vb/showthread.php?s=&threadid=181295 PS: if you know a way to link a thread to multiple forums to avoid duplication please let me know...
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