I´ve tried to implement the e-ratio (edge ratio) in Zorro. Basically it compares the MFE to the MAE for your trades, and calculates the ratio between them.
A more detailed description can be found here at the Build Alpha site:https://www.buildalpha.com/eratio/

I typically run it in the EXITRUN like this
Code:
if(is(EXITRUN)) {
    var cumMfeNorm = 0;
    var cumMaeNorm = 0;
    string CurrentAlgo = Algo;

    for(all_trades) {
        if(strstr(TradeAlgo,CurrentAlgo)) {
	    cumMfeNorm += TradeMFE/TradeVar[0];
	    cumMaeNorm += TradeMAE/TradeVar[0];												
        }				
    }
    var averageMfeNorm = cumMfeNorm/(NumWinLong+NumLossLong);
    var averageMaeNorm = cumMaeNorm/(NumWinLong+NumLossLong);
    var eratio = averageMfeNorm/averageMaeNorm;
    
    printf("nE-ratio for %s is %.3f%",Algo, eratio);
}


As you can see a TradeVar is used which holds the ATR, so you also need to setup a TMF that records the ATR when the trade is closed
Code:
int recordAtr()
{
  if(TradeIsClosed) { // trade is closing?
    TradeVar[0] = ATR(20);
  }
  return 0;
}


You can also put the calculation in an objective function and "optimize" over LifeTime to get a feeling for how the eratio changes with the length of your trades:
Code:
var objective() {
        var cumMfeNorm = 0;
	var cumMaeNorm = 0;
	string CurrentAlgo = Algo;

	for(all_trades) {
	   if(strstr(TradeAlgo,CurrentAlgo)) {
		   cumMfeNorm += TradeMFE/TradeVar[0];
			cumMaeNorm += TradeMAE/TradeVar[0];					
		}				
	}
	
	var averageMfeNorm = cumMfeNorm/(NumWinLong+NumLossLong);
	var averageMaeNorm = cumMaeNorm/(NumWinLong+NumLossLong);
	var eratio = averageMfeNorm/averageMaeNorm;
	return eratio;
}


You could probably implement something along the lines of plotPriceProfile() as well, but I haven't looked into that.
Happy to hear comments and suggestions for improvement!