I am trying to figure a way to rank a set of financial trades done across multiple instruments.
This takes place across of a period of 1 year. For each instrument, there is a list of trades that are either positive or negative.
I am trying to find a way to assign a score to each instrument, where:
- It is desirable that positive and negative trades happen close to each other and may alternate.
- It is undesirable to have a cluster of positive trades and a cluster of negative trades.
For example, if I was ranking the result of each month:
- +-+-+-++--++ would be desirable
- +++++-----++ wouldn't be desirable because of a large sequence of negative results
- +++++++--+++ would be ok, despite large monotonous chunks
I would like to determine a score, as a single number, that will be used to rank each instrument.
What would be a good approach for this?