Add ROR & normalize PCR calc to per-trade
A
AlexBanks
Add ROR return on risk (aka return on margin, return on capital).. normalize per trade first then avg of trades. Apply same normalization to PCR.
PCR calc add normalization, per trade, then avg trades. Current calc is sum P/L over sum credit received, so there is bias towards recency (if backtest is +EV) and premium (if backtest is fixed contract). Additionally the PCR calc cancels credit and debit received - this would be better served by only calculating for credit trades, this way in say a port with a credit selling and debit trade mix - the PCR calc would remain meaningful, alongside the ROR calc.
R
Rory Brown
This would be very useful for large optimizer studies of fixed-risk debit structures. Having normalized per-trade ROR and/or average opening debit/risk directly in optimizer results would make comparisons across DTE, delta and spread width much more robust and eliminate the need to reverse-engineer risk from rounded PCR values.