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Chris,
Sure they have multiple indicators.
I was curious after reading Yuki's post. My backtests encompass a
period from 1990 to present and Yuki reported results from 1998 to
present.
So I re-ran my backtests from 1998 to present and got a tremendous
boost in all performance metrics. I've mentioned this curiosity in the
past and have not figured out the cause... but I still work on it.
In my cases, I think that the single biggest factor in building a
solid foundation to mech trading systems is the refinement of the
PositionScore metric. This has really been the area of focus that has
yielded the most notable performance improvements.
Dennis
--- In amibroker@xxxxxxxxxxxxxxx, "Manchu" <manchu@xxxx> wrote:
> 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@x...]
> > 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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