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I think the Sharpe ratio is good but like most indicators it is a way of
reducing an complex equity curve to a single number and some magnificent
equity curves can have a lousy Sharpe ratio. A case is where there is
considerable up variability but small down variability can have a lousy
Sharpe ratio.
I think the best picture is to look at the actual equity curve and use
the indicators for fine tuning. Although, to get a negative Sharpe ratio
your system would have to return less than 5% per annum wouldn't it?
Yuki,
I have at least three books at home that say that to short all you have
to do is turn your long indicators upside down which annoys me every
time I read them. I am yet to find a good stand alone short system.
Michael
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