Robustness score

"Masala: a varying blend of spices used in Indian cooking."

– Merriam Webster dictionary

The Grit Index, Common Sense Ratio, and Van Tharp's SQN all measure robustness. The Grit Index is probably the most elegant and accessible metric for non-finance people. The CSR is a good canary in the coal mine to ferret out dodgy mean reversion strategies. SQN is a solid staple measure of quality. They all do the job. They measure a specific aspect of robustness:

1. The Grit Index integrates losses throughout the period. It gives an accurate vision of performance of all aspects of downside: magnitude, frequency, and duration.
2. The CSR combines risks endemic to the two types of strategies in a single measure. It shows how risk is balanced for each metric.
3. The t-stat SQN incorporates trading frequency into the trading edge formula to show the most efficient use of capital.

Yet, after publicly railing against...