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Hi Christoper,
Thursday, March 18, 2004, 7:31:13 AM, you wrote:
C> I've tried a few indicators, and haven't been able to come close
C> to a Sharpe ratio of 1, let alone positive.
My guess is that you will need a combination of indicators, not a
single indicator, to get it above 1.
My best system, covering 934 trades through yesterday and going back
to 1/1/97, gives a Sharpe of 4.57. That's 5.94 on the long side, but
"only" 2.76 on the short side. UP Index is 42.80 (48.91 & 3.13) [!],
and K-Ratio is 7.15 (8.92 & 2.82).
PF is 3.51 (5.33 & 2.12).
Don't let *anyone* ever tell you that shorting is the same as going
long, but in reverse!
Yuki
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