SQN
System Quality Number: how consistent a strategy's trade returns are, scaled by how many trades there were.
Formula
SQN = √N × Mean trade return ÷ Std dev of trade returns
How to read it
Higher is better. Rewards many trades with a steady edge over few trades with a large but erratic one.
How to use it
Compares strategies with different trade counts.
Limitations
Rewards sheer trade count; very large samples inflate it.
In Kereon
Strategies. Over every closed trade's percentage return.
Also called: sqn.