Froehlich Factor

Performance Report
The Froehlich Factor (FF) is a complex key figure that is supposed to measure the quality of the trading system results.

Using the Froehlich Factor, the changes in quality of a system can be investigated. This key figure also takes into account that rare extreme values can distort the system performance. Because of this, the biggest deviations from the standard are used as divisors in the calculation.

The formula of the FF is calculated as follows:
Netto Profit * Percent Winning Trades * (Profit Factor + (Average Win / Average Loss)
Max. Winning Trade + Max. Losing Trade + Max. Drawdown

A value of FF = 5 for intraday and of FF > 10 for EOD systems should be expected, according to Stefan Froehlich.