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There are many ways to evaluate the relative merits of trading systems.
Reward to risk ratios is just one approach with many variants.
One such variant measures over a suitably extended period the rewards per unit drawdown. Another uses the reward per unit of the sum of margin and drawdown.
But when comparing two trading systems, in order to avoid comparing apples and oranges, it is wise to consider that profitability comparisons only make sense:
• over a time covering at least 250 closing trades for both systems,
• when using position sizes which give the same risk of ruin,
• in the context of the personality of the trader.
Show me how to improve my reward to risk ratio.
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