Add metric: Minimization of time between new highs?
Author: sedelstein
Creation Date: 3/14/2017 1:32 PM
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sedelstein

#1

https://beyondbacktesting.com/2017/02/10/most-important-metrics/

Minimization of time between new highs - could be interesting to optimize on.
Is this worth adding to MS123 Scorecard?
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Eugene

#2
Hi Steve,

This is an interesting metric. Author makes a good point on that a system making new highs frequently is easy to trade (from a psychological standpoint). Long ago, Ed Seykota whom I used to esteem developed a metric called "Lake Ratio". You can read more about it here in this nice overview:

Lake ratio use, logic and formula

This is the ratio of time spent setting new highs to the time the account is underwater. You can find it on Performance+ tab and in MS123 Scorecard(s). This is very close to “minimization of time between new highs”.
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sedelstein

#3
Agree. Thanks for the reminder.

I've never optimized on it but perhaps it is time to try it!