Average Return

Average Return (D) represents the percentage change in the price of financial instruments. A positive value of return indicates that the strategy is profitable, while a negative value indicates that it is unprofitable.

where:

P is a relative change in the price of a financial instrument over a specified period of time, calculated in percent.

• for buy: P (%) = [ Close(i) - Open(i)] / Open(i) * 100%
• for sell: P (%) = [ Open(i) - Close(i)] / Open(i) * 100%

Close (i) – position closing price;

Open (i) – position opening price;

n — number of events;

A positive value of the average return indicates that the occurrence of the event is profitable, while a negative value means that it is unprofitable.

However, the presence of positive or negative average returns is not sufficient for the conclusion; the indicator must be statistically significant.

The minimum momentum values set by the MarketCheese team are the following:

• 0.15% for the H1 timeframe with a sample of 3000 cases or more;
• 0.3% for the D1 timeframe with a sample of 100 cases or more.

Detection of significant average returns within a sufficient sample allows us to conclude that the event is profitable for the market.

Notes

The minimum values of the average return are introduced axiomatically. Varying volatility of different market segments and position holding time are not taken into consideration.