Kelly criterion

[sam30]

It would be great to add the Kelly criterion to the reports to get a better indication on the long term value of a strategy as the profit/loss ratio is not very reliable.

More about the Kelly criterion: http://en.wikipedia.org/wiki/Kelly_criterion

Regards,

Sam

[sam30]

Some more explanations :

The profit/loss ratio do not take into account the distribution of the trades where the Kelly factor gives you some indication on the fitness of your system. If you have only one large gain and the rest are all loss the Kelly will be very low whereas the profit/loss ratio can still be high. In theory a Kelly of 1.00 would mean it is from a probability point of view, safe to invest 100% of your money in this system.

[NinjaTrader_Ray]

Thanks for the suggestion. I willl add to our list of possible future enhancements.

[strategy1]

Kelly Criterion would be a great addition.

Will it be added in Version 7?

[NinjaTrader_Dierk]

Unfortunately there is not ETA yet.