- ago
I wanted to ask if there's a similar return-to-risk metric available as the one described by Tom Basso?

"Having an engineering degree gives me some different views of what I see out there in the world and the calculation of return-to-risk is one of them. To me traders and their clients need comfort to keep doing what they are supposed to be doing. As soon as discomfort sets in past a pain or patience threshold, it is on to the next great idea.

I decided to use concepts from integral calculus to create measure the amount of discomfort caused by the magnitude of the down period AND the time spent in that period of discomfort. On the other side of things, I don't remember having any of my clients complain about making new equity highs. I started seeing the math develop into:


ETR Comfort Ratio = Amount of Comfort/Amount of Discomfort"

Source: https://enjoytherideworld.odoo.com/slides/slide/the-etr-comfort-ratio-a-better-way-to-measure-return-to-risk-21
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- ago
#1
Reminds me of Ed Seykota's Lake Ratio (part of the PowerPack):

https://precisiontradingsystems.com/lake-ratio.html
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