Ret/Open DD ratio
Ret/Open DD ratio
Extremely easy to implement.
More useful than Ret/DD (Sometimes open dd can be bigger than dd, so the max risk/minimum amount of money needed to run a strategy is more than expected. Ret/Open DD ratio would solve so many problems).
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Votes +3
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Project StrategyQuant X
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Type Feature
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Status New
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Priority Normal
History
KF
k
k
Karish
23.03.2024 11:49
You can close this Task unless the SQX Dev team wants to include it as Built-In,
here is the a code for Return / OpenDrawdown:
here is the a code for Return / OpenDrawdown:
/*
* Copyright (c) 2017-2018, StrategyQuant - All rights reserved.
*
* Code in this file was made in a good faith that it is correct and does what it should.
* If you found a bug in this code OR you have an improvement suggestion OR you want to include
* your own code snippet into our standard library please contact us at:
* https://roadmap.strategyquant.com
*
* This code can be used only within StrategyQuant products.
* Every owner of valid (free, trial or commercial) license of any StrategyQuant product
* is allowed to freely use, copy, modify or make derivative work of this code without limitations,
* to be used in all StrategyQuant products and share his/her modifications or derivative work
* with the StrategyQuant community.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED,
* INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR
* PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS BE LIABLE FOR ANY CLAIM, DAMAGES
* OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
* OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
*
*/
package SQ.Columns.Databanks;
import com.strategyquant.lib.L;
import com.strategyquant.lib.SettingsMap;
import com.strategyquant.tradinglib.DatabankColumn;
import com.strategyquant.tradinglib.OrdersList;
import com.strategyquant.tradinglib.SQStats;
import com.strategyquant.tradinglib.StatsTypeCombination;
import com.strategyquant.tradinglib.ValueTypes;
public class ReturnOpenDD extends DatabankColumn {
public ReturnOpenDD() {
super(L.tsq("Ret/OpenDD Ratio"), DatabankColumn.Decimal2, ValueTypes.Maximize, 0, -100, 100);
setDependencies("NetProfit", "OpenDrawdown", "NumberOfTrades");
setTooltip(L.tsq("Return / OpenDrawdown Ratio"));
}
//------------------------------------------------------------------------
@Override
public double compute(SQStats stats, StatsTypeCombination combination, OrdersList ordersList, SettingsMap settings, SQStats statsLong, SQStats statsShort) throws Exception {
double netProfit = stats.getDouble("NetProfit");
double DD = Math.abs(stats.getDouble("OpenDrawdown"));
int numberOfTrades = stats.getInt("NumberOfTrades");
if(numberOfTrades==0) {
return 0;
}
if(DD == 0) {
// if there is no drawdown return half of the avg. max value of this ratio
return 10d;
}
return round2(safeDivide(netProfit, DD));
}
}
A
h
Votes: +3
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