Ω OMEGA RATIO
Tool #110 — Probability-Weighted Gain/Loss Ratio at Any Threshold
Ω(τ) = ∫
τ
∞
[1 - F(r)] dr / ∫
-∞
τ
F(r) dr | Omega > 1 = gains outweigh losses at threshold τ
Tickers
Threshold (daily %)
Window
120d
1Y
2Y
5Y
CALCULATE Ω
Enter tickers to calculate Omega ratio
OMEGA CURVE (Ω VS THRESHOLD)
GAIN/LOSS PARTITION AT THRESHOLD
ROLLING OMEGA (60d)
RETURN CDF (CUMULATIVE DISTRIBUTION)
OMEGA BY HOLDING PERIOD
GAIN PROBABILITY AT THRESHOLD
OMEGA ANALYTICS TABLE