Total gains divided by total losses. Above 1 means the strategy made more than it lost.
Profit factor = Σ positive daily returns / |Σ negative daily returns|We use daily strategy returns rather than individual trades, so the number is comparable across strategies with very different trade counts. Values between 1.1 and 1.5 are typical for robust daily strategies; much higher values on a long history deserve a closer look for look-ahead bias or a very small sample.
| Strategy | Profit Factor |
|---|---|
| MR-01 RSI Mean Reversion | 1.89 |
| MR-16 Connors RSI | 1.77 |
| MR-06 Z-Score Mean Reversion | 1.51 |
| MR-15 Ultimate Oscillator | 1.39 |
| MR-02 Bollinger Band Reversion | 1.25 |
| Strategy | Profit Factor |
|---|---|
| TAIL-01 Crisis Alpha | 0.93 |
| STAT-10 Dynamic Hedge Ratio Pairs | 0.94 |
| TREND-14 Linear Regression Channel | 0.96 |
| STAT-11 Cointegration Basket | 0.97 |
| COMBO-01 Bollinger-Keltner Squeeze | 1.01 |