Ep. 872: Aha Moments with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
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The Importance of Gain-to-Pain Ratios
I have one favorite measure, which I put in a book. I call it the gain-to-pain ratio. The only place I found that in was in measurements of trading performance where it's measuring trades and to something called a profit factor. However, taking it and applying it to time data like monthly returns or daily returns, actually it wasn't out there.
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