A Composite KPI for Trade Efficiency and Equity Drawdown

Summary

This Pine Script combines a basic three-candle directional strategy with a proposed composite performance score. It enters long after three consecutive bullish candles and short after three consecutive bearish candles, provided the position is flat and the selected start date has passed. Stops are placed at the signal candle’s low or high, while profit targets are set at twice the corresponding entry-to-stop distance. The script then calculates components from closed-trade run-up and drawdown, profit captured relative to maximum favorable movement, equity drawdown, and the spacing of successive equity highs.

The final KPI is the average of these component measures. This offers a way to look beyond net profit, though the code shown is truncated and does not explain the score’s interpretation or validate it against alternatives. It includes no backtest results or market context. Some calculations also depend on closed trades and array contents, so early or sparse trade histories may require scrutiny. The indicator should be treated as an experimental reporting idea, not evidence that the underlying candle strategy is profitable.

Key ideas

• The entry rule requires three consecutive candles moving in the same direction and a flat position.
• Stops use the signal candle’s extreme, and targets are set from a multiple of the initial risk distance.
• The composite score averages measures related to profit capture, trade excursions, drawdown, and equity-high spacing.
• The excerpt is incomplete and provides no results or validation for either the strategy or its KPI.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.