The opinions expressed in these forums do not represent those of C2, and any discussion of profit/loss is not indicative of future performance or success. There is a substantial risk of loss in trading. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. You should read, understand, and consider the Risk Disclosure Statement that is provided by your broker before you consider trading. Most people who trade lose money.

Omega Ratio & AvgWin/AvgLoss


The Omega Ratio (OR) is not that well known. Similar to the Sharpe Ratio (SR), the OR is a risk adjusted return metric. The main difference is that the SR punishes all volatility equally (both upside and downside) while the OR looks at returns and punishes just the negative ones. In statistical terms, the OR encompasses all moments of the distribution, while the SR only factors in the first two. Results must include at least one negative return in order to calculate it.

Another simple but useful metric is the ratio derived from dividing the Average Win by the Average Loss. Since we have not seen either of these on this site, we have added a script to the Explorer. It is called “Omega Ratio & AvgWin/AvgLoss Ratio”. Thanks to WalnutRangoon for their “Portfolio Analysis” script which it is based on.