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Hi Chuck,
Good points, except number 2. You can get significantly better then
2.0.
Sharpe Ratio of trades 4.41 6.22 2.70
K-Ratio 6.63 8.58 3.07
Yuki
Monday, December 15, 2003, 4:02:55 AM, you wrote:
CR> 1. I'll take some more time later in the day to answer your
CR> questions regarding some of the metrics in the report.
CR> 2. A good Sharpe ratio is around 1.0. I think that 2.0 is as
CR> good as it gets. You CANNOT have a negaitve Sharpe ratio with
CR> positive returns. This was the first clue to a problem.
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