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Tomasz,
Here's you definition of Risk-Reward Ratio:
Risk-Reward Ratio - Measure of the relation between the risk
inherent in a trading the system compared to its potential gain. Higher is
better. Calculated as slope of equity line (expected annual return) divided by
its standard error.
I've run some optimizations with the 'new' backtester. My
results seem to indicate that lower is better, and indeed if it really is a
Risk/Reward ratio, then lower should be better. Otherwise Reward/Risk
ratio, I think
See a couple of examples in the attachment.
Steve
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