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04/17/2019 at 3:02 PM
#96712
I’ve had a further idea for a strategy quality score. I’d like to multiply the total (or maybe average) draw down during the life of a strategy by the number of bars it is in draw down and then divide this by the return multiplied by the total number of bars. A sort of ‘Ulcer’ index or ‘Don’t panic’ index. Perhaps something for tomorrow.