Support Board
Date/Time: Mon, 03 Feb 2025 14:09:39 +0000
Post From: Emailed Question
| [2015-04-07 21:55:22] |
| Al SC Developer - Posts: 434 |
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The entry/exit/total efficiency calculations are generally based on the range of the instrument while in the trade (max and min price while position is open). Most simple definitions use min, max, entry, and exit prices for a single trade of quantity one. Because a trade can have multiple fills at different prices and at different times, the value of (maximum runup - maximum drawdown) is used as the denominator of the calculation, which represents the maximum range of the trade. For the entry efficiency, the numerator is the maximum runup. So if you have no drawdown, your entry efficiency would be 100%, and any drawdown would reduce your efficiency because you could have gotten a better price. For exit efficiency, the numerator is closed profit loss minus maximum drawdown. Any excess runup will reduce your efficiency because you could of gotten a better price. For total efficiency, the numerator is closed profit loss and represents how much of the potential range you captured. Any excess runup or drawdown will reduce the efficiency. |