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Van Tharp's SQN (system quality number)


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Van Tharp's SQN (system quality number)

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  #41 (permalink)
 Wikmar 
Madrid - Spain
 
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Sandpaddict View Post
Wikmar. Thank you so much that was a great paper. Fantastic!

This is of course the problem us discretionary traders have as well.

It's a hidden weakness as we don't look at it like we should. Maybe thats the SQN coming through? Lol.

I really like your idea for figuring out MaxDDs impact and incorporating it in with DDArea for the total percentage of drawdown...

"The weight p is obtained by a rule of three: DDArea/N + MaxDD% is to 100, as MaxDD% is to p%. And p = p% / 100."

This really struck me. I love it. Im going to have to go see how you calculate the DDarea next. I find that very interesting.

Your forumla for PQM seems to help solve the issue you intended from the outset.

This is just such a beautiful explanation and a TRUER representation as the Risk Adjusted Returns are accounted for.

I really can't get over the elegance of this paper!

Thank you so much for sharing!

Joseph

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Joseph, I thank you very much for the recognition, since the idea seems to have seemed good to you. In fact, there are hardly any more exciting words for me. Even more so when what prevails in general is not what but who and with what marketing does things.

I did that paper, which I could have done a couple of years earlier, with the sole intention of making a contribution to science, if possible; a quality one. Receiving feedback that I have achieved it is something very great for me. I wish I could think that it is really objectively important. Thanks!.

That said, I think I remember that I had a thread on this subject in which I think I should move the debate of this paper so as not to divert this thread on SQN. However, it does seem important to have warned here that SQN, the family to which it belongs and also K-Ratio (I communicated this to Lars Kestner before publishing the paper), said with all humility but with realism, I think they have scientifically fallen, and there are one or more better alternatives.

I published the paper and did not promote it at all. Probably I should have done it, not for me, but for the purpose that pursues this subject. I am going to see if I find that thread. Forgiveness.

Greetings and thanks again!.

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  #42 (permalink)
 Wikmar 
Madrid - Spain
 
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The thread:




And where I have continued the subject:


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  #43 (permalink)
 Sandpaddict 
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Wikmar View Post
Joseph, I thank you very much for the recognition, since the idea seems to have seemed good to you. In fact, there are hardly any more exciting words for me. Even more so when what prevails in general is not what but who and with what marketing does things.

I did that paper, which I could have done a couple of years earlier, with the sole intention of making a contribution to science, if possible; a quality one. Receiving feedback that I have achieved it is something very great for me. I wish I could think that it is really objectively important. Thanks!.

That said, I think I remember that I had a thread on this subject in which I think I should move the debate of this paper so as not to divert this thread on SQN. However, it does seem important to have warned here that SQN, the family to which it belongs and also K-Ratio (I communicated this to Lars Kestner before publishing the paper), said with all humility but with realism, I think they have scientifically fallen, and there are one or more better alternatives.

I published the paper and did not promote it at all. Probably I should have done it, not for me, but for the purpose that pursues this subject. I am going to see if I find that thread. Forgiveness.

Greetings and thanks again!.

Yes I'm glad you started a dedicated thread. I will go there next.

I was going to suggest that as this is an incredibly important subject and as far as I'm concerned this such a beautiful piece of math explaining this huge hole in trading it needs a much wider audience!

You said your intention was to make a contribution to science and a quality one one at that.

Well sir I believe you have succeed in both counts.

Your contribution should not be discounted as a nice little formula.

What it explains is real, has a real effect and can now be accounted for and even more, compared, contrasted and modeled.



Did I mention how much this paper impacted me?

Thank you @Wikmar



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