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Hello Tabb,
RINA Index was invented by RINA Systems, it is a trade performance measure.
The RINA Index is calculated by taking the net profit excluding trades that are outside of 3 sigma (Std Deviation) from the average trade weighted by the average drawdown and by the percent time in the market.
RINA Index = (Net Profit - Net Profit in Outliers)/(Average Drawdown*Percent Time in the Market).
The index is a good substitute for the ratio Net Profit/ Maximum Drawdown. It gives more realistic reward/risk value for a trading performance. In addition to drawdown as an element of risk in the measurement of performance, time-in-the market is included as another element of risk. The premise is that there is an inherent risk any time a position is established. Following this logic, the RINA Index would be higher (all other variables equal) for a system that spends less time in the market.
Using the RINA Index traders get a performance measure independent of the return on equity and initial capital.
To get more information you can read "How to read the new TradeStation 2000i performance report" document. Somebody on the list posted it recently.
Tabb Thrift> Hello,
Tabb Thrift> Can someone tell me what is meant by the Rina Index. What does it measure?
Tabb Thrift> Thanks
Tabb Thrift> TT
--
Andy
@TS Support mailto:andy@xxxxxxxxxxxxx
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