Quote Originally Posted by mingpan.lam View Post
Hi Timothy,

How do you measure your system's reward to risk ratio when you back test your system? I also focus on profit and max drawn down and I think measuring the reward to risk ratio may be a better choice.

average (Profit/drawdown)

Cheers,

Ellis
Ellis,

I measure average profit over maximum drawdown, rather than average to average. The problem with volatility is the human element -- there's only so much pain I can handle. :-)

Tim