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Hi Chuck,
Monday, December 15, 2003, 7:05:15 AM, you wrote:
CR> I realised, after I sent the post, that someone would comment
CR> about my statement regarding 2.0 being a high Sharpe ratio. I
CR> decided to wait for the comment before adding to my statement.
CR> Yes, you sure can have Sharpe ratios like the ones you talked
CR> about for individual trades. I was referring to a long-term,
CR> large portfolio, thousands of trades, either backtest or real.
CR> I think you might agree that a Sharpe ratio of 2.0 would be
CR> exceptionally good in those cases?
The numbers I posted are for the past 7 years, more than 1,000
trades. I will agree that the larger the portfolio, the more
difficult it's going to be to get numbers like that however. This
portfolio is not all that large, but it certainly is bigger than 1,
and the number of trades certainly exceeds 1. ^_^
Yuki
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