On one strategy I see like 4.1 PPB for SPY 100% Exposure in Benchmark, then 4.26 PPB for a strategy that has 54% Exposure. And the strategy makes $297k profit, compared to $209k for Benchmark. The WL Score does pick up it is much better, with 20 score to 8 for SPY. The actual profit per bar is over double, instead of the tiny amount reported.
1. Is WL score CAGR per time invested? Seems about right to me, guessing.
2. Maybe change name to Profit per Bar Invested. As it is now it, people will and I did think it meant per bar invested.
Cheers
1. Is WL score CAGR per time invested? Seems about right to me, guessing.
2. Maybe change name to Profit per Bar Invested. As it is now it, people will and I did think it meant per bar invested.
Cheers
Rename
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