Gain to Pain

The Gain to Pain (GtP) ratio provides information about the realized trading performance, in comparison to the risk that the trader took to achieve that performance. 

It is very similar to the Profit Factor, but the Profit Factor just compares the average winning trade and the average losing trade. The GtP ratio, though, compares the return relative to the risk.

A trader can 'simply' realize a higher return by taking larger trades and, therefore, increasing the risk. But the GtP will penalize higher risk levels and show it in the result.

When comparing two trading strategies, the one with the higher GtP ratio has taken less risk to achieve the realized return. The lower the GtP, the more risk the trader has taken. 

To calculate the GtP we use the following formula:

GtP = (Return of all trades) / (Return of losing trades * -1)