Keelix,

Thanks for the definitions of your headings. You mention that UPR is Upward Potential Ratio/ Martin Ratio. I did Google those terms, and there are differences.

a. The Martin Ratio uses the square of the drawdown to compute risk (http://www.tangotools.com/ui/ui.htm)

b. the UPR uses the square of the return below the MAR times the probability of that return (http://en.wikipedia.org/wiki/Upside_potential_ratio)

Which do you use?

If you use the Martin Ratio: Martin suggests calculating the drawdown weekly so that large drawdowns are not missed. Do you calculate these weekly or at the points of gain calculation?

If you use Upside Potential Ratio, how do you compute the probability of each downside observation that appears in the formula?