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What are "dd's and ui"?
I've never seen Sharpe numbers that high (> 10,000) and when I get
them in the 10-12 range, I usually have a problem with my trade
delays. I'm happy if mine are in the 2.50-3.50 range but I'd be
interested in hearing how others have done.
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
>
> I've seen Sharpe Ratios top 10,000 ... but they aren't on systems
> I'd want to trade. Look at the signals, returns, dd's & ui.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "hairy_mug" <WSCHWARZ@xxxx>
wrote:
> >
> > I am getting some sharpe # around 10-12 in the backtester...
> > Is it best to pick the highest, given the same "k"?
> >
> > Are numbers this high legit? or is there a too much #?
> >
> > Thanks,
> >
> > Walt
> >
> > >> point me to a doc, if you know of one...
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