'The Megan Ratio' (TASC 01/2009)

[Elliott Wave]

Its very good to see NT support for TASC Traders' Tips is back this month.

http://www.traders.com/Documentation/FEEDbk_docs/200901/TradersTips.html#8

Oscar Cagigas’s article in this issue, “The Megan Ratio,” describes the Megan ratio (maximum exponential growth annualized). Cagigas compares Megan to the Sharpe ratio and K-ratio, and suggests that Megan be utilized as a means of comparing trading systems. He presents three strategies to demonstrate Megan’s ability to improve the trader’s ability to critique different strategy options.

We have implemented the Megan ratio, as discussed by Oscar Cagigas in his article in this issue, “The Megan Ratio,” as methods in two sample strategies. These are available for download at www.ninjatrader.com/SC/January2009SC.zip.


Once downloaded, from within the NinjaTrader Control Center window, select the menu File > Utilities > Import NinjaScript and select the downloaded file.

These indicators are for NinjaTrader Version 6.5 or greater.

You can review the strategy’s source code by selecting the menu Tools > Edit NinjaScript > Strategy from within the NinjaTrader Control Center window and selecting either MeganRatioStrategy1 or MeganRatioStrategy2.

[NinjaTrader_Bertrand]

Thanks for kind words Elliott Wave!

[Elliott Wave]

I haven't looked into this in detail yet, but would it make sense to include this as an optimization option, i.e. optimize strategy by Megan ratio (as opposed to Sharpe ratio, or net profit etc.)?

I suppose it would need to be a 'type' rather than a strategy in that case, but would likely prove much more useful as it could be used in evaluating any strategy without having to copy tonnes of code...

NT could probably use a few more optimization types (expectancy!!!), so perhaps something to consider.

[Anagoge]

I'd also love to see some more useful "optimize on" choices included in-the-box. Examples: K-Ratio, Expectancy, SQN, Sortino Ratio, MAR ratio, etc.

The Megan Ratio implementation seems to assume day bars, correct? It needs the account start/end values, which can be provided but are not required for a backtest.