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Yes, my best is 0.99, worst 0.41, but can't say I really understand all the
backtesting report stuff yet.
Cheers,
Graham
http://e-wire.net.au/~eb_kavan/
-----Original Message-----
From: Christoper [mailto:manchu@xxxxxxxxxxxxxxx]
Sent: Thursday, March 18, 2004 6:31 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Anyone have a positive Sharpe Ratio for system?
I've tried a few indicators, and haven't been able to come close to
a Sharpe ratio of 1, let alone positive.
I've read (well ok, tried to understand) the article on the Sharpe
Ratio plus poked around on the web to understand it a little better,
but i don't think things have sunk in.
But even before I try to look at that indicator:
1 - How do people view this ratio? Do you think it is a weak or
strong indicator of risk adjusted return.
2 - I know that 5% is hard coded as a "risk free rate", but at this
point in time, isn't that kinda high?
3 - OR if people know where else I can look to compare and weight
the various measures ot return that would be helpful.
Thanks in advance!!!
CHris
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