Discussing the article: "Alternative risk return metrics in MQL5"
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Check out the new article: Alternative risk return metrics in MQL5.
In this article we present the implementation of several risk return metrics billed as alternatives to the Sharpe ratio and examine hypothetical equity curves to analyze their characteristics.
The graphic below represents a Metatrader 5 (MT5) application implemented as an Expert Advisor (EA), that displays three equity curves. The red equity curve is the benchmark from which the blue and green equity curves are derived. The benchmark can be altered by configuring the initial capital. Adjustable from the application.
Equity curves will be created based on the benchmark series. Each one is defined by a random componet that can be controlled through two adjustable constants. The mean coefficient and a standard deviation coeffecient. These in combination with the standard deviation of benchmark returns, determine the parameters for the normaly distributed random numbers used to generate two hypothetical equity curves.
Author: Francis Dube