Van Tharp SQN Number
Author: sedelstein
Creation Date: 11/27/2013 11:30 AM
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sedelstein

#1

11/27/2013 11:30 AM

Went looking in the forums to see if anyone has coded this up. didnt find any references

http://trading-journal-spreadsheet.com/faqs/sqn-created-by-van-k-tharp/

System Quality Number (SQN): SQN = Squareroot (# Trades) * Avg R / Std Dev R

where R are the returns of the trades

Is this of interest in performance visualizers?
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Eugene

#2

11/27/2013 12:31 PM

Due to legal issues, there's no interest in adding SQN or R-Multiples to our libraries (and while I'm at it, as well as anything Tom Demark).

However, they've been coded long ago and exist in the MS123 Visualizers demo solution (previous generation) -- available in the Wiki for compilation and learning purposes. Check this out for more details:

Adding SQN to Visualizer
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sedelstein

#3

11/27/2013 1:26 PM

Thanks Eugene

I didn't realize there were legal issues. Thanks for the link
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