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Van Tharp's SQN with over 100 trades

  #17 (permalink)

Kansas City, MO/US
Trading Experience: Beginner
Platform: NinjaTrader
Favorite Futures: Futures
Barz's Avatar
Posts: 16 since Jul 2018
Thanks: 26 given, 9 received

brakkar View Post
Am I missing the point completely?

Well, you've correctly identified some of the core challenges of strategy development

There are many ways to assess a system and none is perfect for every scenario, but it should take into account profits, risks or drawdown and frequency of trading. And perhaps a few other things.

The SQN captures those three things so it's useful, but limited, as with most things.

You'll have to use some judgment. For example if you're comparing two strategies and one has 3 trades in a month and the other has 300, we'll there's no good comparison really. But if it's 200 and 300 then yeah the SQN can be useful.

You mentioned the fact that the strategy's performance might be in sync at one time and out at another. Yes, this is possible depending on the type of strategy. You might consider a moving SQN based on the last 100 trades to see how your system changes over time.

I've used this as an indicator to get some situation awareness on whether the strategy is improving or declining.

Last edited by Barz; August 8th, 2019 at 09:47 PM.
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