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.