Non profit based performance metric

Trader's Mindset

Feb 05

A non-price based quantitative measure for evaluation of trading performance might be comparing how closely you enter or exit a position to a peak or valley and/or based on subsequent retracement.

A discretionary trader or trading system that has a high peak/valley hit ratio in some markets reveals that the trader may be trading with optimal rules for, at least, some market conditions and would suggest the need to look for possible filters versus discarding the strategy outright.


About the Author

The author is passionate about markets. He has developed top ranked futures strategies. His core focus is (1) applying machine learning and developing systematic strategies, and (2) solving the toughest problems of discretionary trading by applying quantitative tools, machine learning, and performance discipline. You can contact the author at