Let's say you have two strategies, A and B. Their profiles (as measured by profit factor, net profit, max DD, Sharpe's ratio, and number of trades) is identical. The only difference between A and B is the average time in trade. Average time in the trade for strategy A is 4 hours, and average time in trade for strategy B is 1 hour. I think most people would agree that strategy B is superior to strategy A, since it takes profits and losses quicker, thus potentially diminishing the probability of "getting stuck" in adverse events. My question is, how would you incorporate the average time in trade into your "strategy quality" equation? My instinct tells me to divide whatever your "strategy quality" by the square root of the average time in market, and compare the results. For example, for the original strategies A and B, if we choose profit factor as the "strategy quality" number, the adjusted quality would be: for strategy A: PF / sqrt(4) for strategy B: PF / sqrt(1) As can be seen, the adjusted quality for strategy B would evaluate to be twice that of strategy A. What do you think?