|
PureBytes Links
Trading Reference Links
|
Hi Dimitris,
Friday, March 19, 2004, 5:14:45 PM, you wrote:
DT> Yuki,
DT> As you see, the Sharpe Ratio is much better for the Long
DT> side and this is the reason for the final
DT> 2.27 .
DT> All trades Long trades Short trades
DT> Sharpe Ratio of trades 2.27 5.99 0.73
DT> K-Ratio 0.64 0.76 0.02
DT> The All trades result is not a safe criterion for the situation.
DT> Dimitris Tsokakis
I'm not surprised, DT. We just saw the last short get burned, and
the long that followed it is doing just fine. Of course, it's a very
short track record for this timing model. Maybe in a couple more
years the numbers won't be *that* far apart. But I'm sure longs will
continue to hold an advantage.
Yuki
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|