I have several measures:
1. Profit and loss (PNL). 2. Win to loss ratio (W2L). 3. Avg gain to drawdown ratio (AG2AD). 4. Max gain to maximum drawdown ratio (MG2MD). 5. Number of consecutive gains to consecutive losses ratio (NCG2NCL).
If there were only 3 measures (A, B, C), then I could represent the "total" measure as a magnitude of a 3D vector:
R = SQRT(A^2 + B^2 + C^2)
If I want to combine those 5 measures into a single value, would it make sense to represent them as the magnitude of a 5D vector? Is there a better way to combine them? Is there a way to put more "weight" on certain measures, such as the PNL?