The MEGAN Ratio by Oscar Cagigas
ARTICLE SYNOPSIS ...Stocks & Commodities V. 27:01 (19-22): The MEGAN Ratio by Oscar Cagigas
Which system will generate more return? Here's a metric that will help you answer that question.
Many metrics can evaluate the performance of trading systems. These include net profit, recovery factor, Sharpe ratio, K-ratio, and risk-adjusted return. Even though you can use these metrics to select the best trading system for you, the criteria for selecting a system tend to be arbitrary. Metrics such as the Sharpe ratio or K-ratio give an indication about the slope and smoothness of the equity curve but don't indicate whi...