Re: [amibroker] Tomasz. Question about Risk-Reward Ratio

["Tomasz Janeczko" <amibroker@xxxxxx>]

Hello,
 
No, THe HIGHER the better. It is linear 
regression SLOPE (measuring how fast you earn money) divided by Standard Error 
(Risk)
 
If two systems produce the SAME profit then the system with 
higher RRR is preferred because the standard error - i.e fluctuations 

of equity curve (risk) is lower. Otherwise higher values of 
RRR with the same profit mean smoother equity curve. 
The value should be > 1. If it is less than 1 it means that 
you risk more than you can gain.
 
You are right "Reward/Risk ratio" would be correct but it is 
traditionally called opposite way .
 
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  <A title=steve2@xxxxxxxxxxxxxxxxxxxx 
  href="">Steve Almond 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">Ami 
  Sent: Sunday, October 05, 2003 10:21 
  PM
  Subject: [amibroker] Tomasz. Question 
  about Risk-Reward Ratio
  
  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.
   
  SteveSend 
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