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Van Tharp's SQN (system quality number)
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Created: by caprica Attachments:5

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Van Tharp's SQN (system quality number)

 
Leesburg, VA
 
Trading Experience: Advanced
Platform: NinjaTrader
 
Posts: 80 since Aug 2010
Thanks: 74 given, 33 received

What are those failures? Will you be sharing your excel replacements?

 
 
Madrid, Spain
 
 
Posts: 29 since Feb 2017
Thanks: 4 given, 6 received

NinjaTrader Failure:
- Optimize 30min time frame it takes the same time than optimize 1min time frame.
- When you make backtest or optimize and appears a big gap, and there was a limited entry order the entry price does not run at the opening level of the next bar.

Multicharts Failure:
- Using IB with friends and family account, only can see the accound by de "ID" like U1232123, U333444, U565656... You can't personalize the account name, for example: Paul, Enri,... Now imagine that you are working with 10 different accounts
- Using IB with friends and family account then the total money that exists in each account is not truly shown. For example, an account have 30.000€, then get lost 1.000€, logically they should be seen 29.000€, but Multicharts continues showing 30.000€

My personal excel now is only for optimization and backtest. It is simple but work just as I need.
I need SQN? I have SQN.
I do not need to see decimal numbers in the average profit.

Then I see what I want, the way I want it and without mistakes.

 
 
ChangChun+China
 
Trading Experience: Intermediate
Platform: Ninja Trader 8
Favorite Futures: Futures
 
Posts: 4 since Oct 2011
Thanks: 1 given, 0 received



caprica View Post
Hello. I just uploaded this to the Ninja Strategies section. It is really a unique method to optimize your strategies on.

This is Van Tharp's System Quality Number (SQN) optimizer type for NinjaTrader. Place the SQN.cs file in your Documents\NinjaTrader 6.5\bin\custom\Type directory and then exit and reload Ninja.

Here is information from Ragingbull on SQN:


The code itself was written by Pete S all credit to him.

If you want more information on the SQN (System Quality Number) or Van Tharp you can look here:
Definitive Guide to Position Sizing

To use this you need to use Strategy Analyzer and change your "Optimize on..." selection to "my system quality number". This is where you normally choose max net profit, or max profit factor, etc.

Download the file here:
https://futures.io/free_downloads/ninjatrader/strategies/99-download.html?view


Hi everybody, just following up this thread.

In Tharpe's book, he talked about the drawback of the SQN, that it can be distorted by a large number of trades. So, his remedy is to truck number above 100 to 100.

So,
If (Number of Trades >=100)

SQN =10 * Average Profit/StdDev(AllTrades)

While in this case, the favorable number of trades is only between 30 and 100. This range is quite small! And when I used SQN to evaluate the system quality, it seems to have a bias toward small trade numbers between 30-100.

How do you guys think of that? Is there a way to remedy this?

 
 
Mississauga
 
Trading Experience: Intermediate
Platform: Ninjatrader
Broker/Data: GGI/ Kinetick
Favorite Futures: Emini
 
Posts: 9 since Nov 2017
Thanks: 2 given, 3 received

Interesting Point about SQN = Sharp ratio.
https://fxrenew.com/forex-blog/how-to-measure-your-trading-system-quality/


 



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