RE: [amibroker] Anyone have a positive Sharpe Ratio for system?

["Manchu" <manchu@xxxxxxxxxxxxxxx>]

Thanks for the response... Going from your reply, I have two follow-up
questions:

1 - Do higher Sharpe Ratio systems *on average* have lower (a) max single
trade loss and (b) system draw downs?
2 - As for "combination of indicators", is this as simple as "Buy =
BuyIndicator1 and BuyIndicator2 ..."

I've just order "Design, Testing, and Optimization of Trading Systems", is
this book helpful with #2 in particular?

Chris

> -----Original Message-----
> From: Yuki Taga [mailto:yukitaga@xxxxxxxxxxxxx] 
> Sent: Wednesday, March 17, 2004 6:43 PM
> To: Christoper
> Subject: Re: [amibroker] Anyone have a positive Sharpe Ratio 
> for system?
> 
> 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 to a 
> C> 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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