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Can anyone tell me how to calculate system quality number in a custom backtest proc?
I understand the math and the formula
SQN = (Expectancy/Standard Deviation R) - SqRoot(Number of trades)
Where I'm stuck is how to calculate the Standard Deviation of R within a CustomBacktestProc?
If this has been discussed before perhaps someone could point me to the post, but I've not found anything with searches of the message boards.
Many Thanks
Jeff
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