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Chris,
I've got a couple of systems, which when run against 'Long and Short',
'Long only' & 'Short only' generate Sharpe Ratios of 1.08, 1.53, 1.87,
2.25 & 2.88. The # of trades related to the above are 6113, 7828,
3343, 3343, 8734 & 9509.
I don't pretend to understand Sharpe, but all of the above backtests
have system drawdowns that a prudent trader would be cautious about.
I think you have to view the various ratios in combination rather than
focus on one or two.
I'd like to see more knowledgable commentary on the use of the various
ratios reported by AB.
Dennis
--- In amibroker@xxxxxxxxxxxxxxx, "Christoper" <manchu@xxxx> wrote:
> 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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