- Pessimistic Return on Capital (PROC)
- PROC = {(Avg profit $ per winning trade)*[(# winning trades) – Sqrt(# winning trades)] + (Avg loss $ per losing trade)*[(# losing trades) + Sqrt (# losing trades)]} / Capital
- Assumes that the system wins less often and loses more often
- MAR ratio
- Ratio = CAGR / MDD
- Efficiency ratio
- Ratio = out-of-sample annual return / in-sample annual return
Install