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<FONT face=Arial color=#0000ff
size=2>OUCH!! I hate it when that happens!
<FONT face=Arial color=#0000ff
size=2>
So
far, every time that I have found something that was too good to be true... it
was too good to be true!
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Tuesday, March 23, 2004 3:18
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
CORRECTION: Reported Sharpe RatiosThe two largest
Sharpes Ratios I reported that were greater 2.00 havebeen
debunked.I shared my code with a friend for evaluation and this
particularbacktest had a PositionScore that was derived on the day of the
tradeentry. 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!!!> > > >
CHrisSend BUG REPORTS to bugs@xxxxxxxxxxxxxSend
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