What I'm after is a single number to measure the performance of my short term trading system. I doubt whether there are any hard formulas to measure this, but I'm interested if anyone uses something similar.
What I had in mind was using the following to create a usable single number:
- % of winners
- averge gain
- avg win : avg loss
- median win : median loss
- average hold time
Originally I had simply used average % gained per day held to measure this, but I want to bring the median win:loss into it to try to get a measure of consistency. I can make something up but was wondering what others do.