Add Risk of Ruin
It would be nice to have the Risk of Ruin among the statistics of a strategy. It's a quite standard metric used on FX Blue and other systems and methodologies
Attachments
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Votes +10
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Project StrategyQuant X
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Type Feature
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Status Duplicate
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Priority Low
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Assignee Mark Fric
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Milestone Build 136
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Category Backend
History
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Insanity82007
28.11.2020 10:45
Load the strategy into Quant Analyzer and use the Monte Carlo Analysis menu. Risk of ruin is best evaluated there.
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Enric
28.11.2020 18:58
Hey Insanity. I didn't see that option on Montecarlo. Thanks! However the formula to calculate it doesn't require Montecarlo analysis. Anyway until we have this stat as default we already have something to evaluate. Thanks again. Useful!
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JJ
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Alex
12.09.2022 14:26
Although calculating Risk of Ruin using Monte Carlo method is better, but there are some ways to add it inside strategy reports.
1. Please check below link:
https://improve-your.trade/blog/risk-of-ruin-in-tradingAnd add this section: "How to calculate the Risk of Ruin using Ralph Vince formula" to SQX.
2. Please add Risk of Ruin calculated in Quant Analyzer to SQX
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Tamas
13.10.2022 15:45Assignee changed from Mark Fric to Mark Fric
Status changed from New to Duplicate
Milestone changed from None to Build 136 Final
Category changed from None to Backend
duplicate to https://roadmap.strategyquant.com/tasks/sq4_9221
Votes: +10
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