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Hi
Yuki,
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I
realised, after I sent the post, that someone would comment about my statement
regarding 2.0 being a high Sharpe ratio. I decided to wait for the
comment before adding to my statement.
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Yes,
you sure can have Sharpe ratios like the ones you talked about for individual
trades. I was referring to a long-term, large portfolio, thousands
of trades, either backtest or real. I think you might agree that a
Sharpe ratio of 2.0 would be exceptionally good in those
cases?
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: Yuki Taga
[mailto:yukitaga@xxxxxxxxxxxxx]Sent: Sunday, December 14, 2003 4:56
PMTo: Chuck RademacherSubject: Re: [amibroker]
Understanding Portfolio Backtest Reports ..was..Re: PositionScore
IdeasHi Chuck,Good points, except number
2. You can get significantly better then2.0.Sharpe Ratio of
trades 4.41 6.22 2.70K-Ratio 6.63 8.58 3.07YukiMonday,
December 15, 2003, 4:02:55 AM, you wrote:CR> 1. I'll take
some more time later in the day to answer yourCR> 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 asCR> good as
it gets. You CANNOT have a negaitve Sharpe ratio
withCR> positive returns. This was the first clue to a
problem.Send
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