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SQN Calculation


This script calculates the SQN (System Quality Number) value of your account within a time interval that you will set.

Keep in mind that trades with no initial stoploss value won't be calculated because of the nature of the system!

The calculations will be made on your current account.


What is SQN?

Van K. Tharp proposed a formula for System Quality Number (SQN) that measured strategy performance and could be used as a custom objective for optimizing strategy parameters.

The formula was presented in his book: The Definitive Guide To Position Sizing, published in August 2008.


Formula:

 SQN = SquareRoot(TotalTrades) * ((WinProb * MEAN(R-multiple)) - (LossProb * MEAN(R-multiple))) / StdDev of R-multiples


Input parameters:

  • StartPeriod: Set the start date for the calculation
  • EndPeriod: Set the end date for the calculation


Feel free to contact me if you have any questions or comments.


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Enhance your trading decisions with the News Analysis Tool—an advanced plugin designed to keep you fully informed about the latest economic events, right from your chart. This expert tool overlays current-week news directly on your charts, so you can stay on top of market-moving events without needing to switch screens. With an intuitive, user-friendly GUI, you can effortlessly browse through news and access comprehensive details such as Actual, Predicted, Last values and the change in percent.
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Rosendo Rodriguez
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Rosendo Rodriguez 2022.10.28 12:28 
 

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Szabo Bence
1601
Reply from developer Szabo Bence 2022.10.30 16:24
Você precisa executar o script em uma conta e o script mostrará o valor SQN de sua conta. Mas lembre-se: para o cálculo correto, todas as posições que você fez precisam ter um valor inicial de stop loss.
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