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This may be a stupid question. What is the profit loss ratio? It is the total profit/total loss? I have a strategy that has a 1.7 profit loss ratio however it is not profitable. I am trying to figure out I why it is not profitable. I wonder if I have a sizing issue?
Thank you,
Keith
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Vladimir
Keith Forward
The best way to get answers to your questions is to publish your back-test.Â
Fred Painchaud
Hi Keith,
It is the average win rate divided by the average loss rate.
So even if it is > 1, profitability depends also on the average win % and average loss %, among other factors.
Fred
Keith Forward
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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