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The two largest Sharpes Ratios I reported that were greater 2.00 have
been debunked.
I shared my code with a friend for evaluation and this particular
backtest had a PositionScore that was derived on the day of the trade
entry. This, of course, is looking into the future.
Dennis
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> 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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