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Dennis - do these systems that you are refering to have multiple indicators?
As Yuki's later post would allude to?
> I think you have to view the various ratios in combination
> rather than focus on one or two.
I totally agree, and I've been messing around with a few indicators, trying
to get general sense on how those ratios work in concert. However it just
seems that this one in particular is confounding me, when >1 is good, and my
systems get -1, -2! :[
Thanks for reply,
Chris
> -----Original Message-----
> From: Phsst [mailto:phsst@xxxxxxxxx]
> Sent: Wednesday, March 17, 2004 6:04 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Anyone have a positive Sharpe Ratio
> for system?
>
> 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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