Walk-forward optimization library for MetaTrader: Estimator formula

15 August 2016, 19:42
Stanislav Korotky

This post is a part of documentation of WalkForwardOptimizer library for MetaTrader4/5 - here is the table of contents.

Estimator formula reference

Expressions for performance estimator can contain the following variables:

NP - net profit

GP - gross profit

GL - gross loss

PF - profit factor

SHARPE - sharpe 

TRADES - number of trades

DDMAX - maximum drawdown

DDREL - maximum relative drawdown

WIN - number of winning trades

LOSS - number of losing trades

DEPOSIT - initial balance

All mathematical and logical operators are supported, as well as common functions such as abs, exp, max, min, pow, sqrt. Here is an example of expression for modified PROC (Pessimistic Return on Capital):

(GP * (1 - 1/sqrt(WIN + 1)) + GL * (1 + 1/sqrt(LOSS + 1))) + NP / TRADES


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