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Given the relatively recently revised formula that is in play now for
K-Ratio it would be far more useful if it had more than what is
usually one significant digit.
However, in regards to possible new metrics, you can of course
calculate and display your own.
--- In amibroker@xxxxxxxxxxxxxxx, eric paradis
<thechemistrybetweenus@xxxx> wrote:
> Gerry,
>
> Te sortino ratio sounds like a great idea. I too find
> my sharpe ratios on good systems Ive made are all so
> far about .30 -.40, and rarely deviate from that.
>
> Eric
>
> --- gerryjoz <geraldj@xxxx> wrote:
>
> > I am wondering if a couple of the ratios in the
> > systems test report
> > need another look at their usefulness, namely Sharpe
> > and K-ratio. How
> > many people find them useful and how many do not?
> > Perhaps the two
> > measures mentioned below would be more useful?
> >
> > In the course of backtesting, I sometimes look at
> > the Sharpe and K-
> > ratios. Up to now i haven't been tracking them
> > closely, being more
> > concerned with Payoff and a couple of others. My
> > impression has been
> > that the better the Payoff or Profit ratio in
> > conjunction with
> > tighter stops, for much the same NP%, the worse the
> > Sharpe ratio!
> > Further even tho' the backtesting seems ok for the
> > watchlist i am
> > selecting (top stocks), the K-ratio never gets off
> > the ground, and
> > the sharpe ratio is only slightly correlated with
> > better payoff or
> > profit ratios.
> > Here are a couple of rows out of 30 different
> > backtests.
> > Unfortunately I didn't keep the stop and other data.
> > name Run # NP % Exposure
> > % CAR Max.
> > Sys %
> > DD CAR /MDD
> >
> > Profit
> >
> > Factor
> >
> > Payoff
> >
> > Ratio
> >
> >
> > Sharpe K-Ratio on next line
> > A 16 101.9 79.28 17.77 -8.35 2.13 6.46 2.75
> > 0.38 0.08
> > B 30 95.9 70.7 16.02 -10.08 1.59 3.29 4.31
> > -0.15 0.06
> >
> >
> > average 93.15 73.37 15.91 -11.72 1.55 9.81
3.52
> > 0.2 0.07
> >
> > On the other hand, Expectancy, and the Sortino ratio
> > do appear
> > useful. Expectancy has been given some attention in
> > this forum.
> > Paraphrasing something I got off the web:
> >
> > The Sortino Ratio is similar to the Sharpe Ratio,
> > except that instead
> > of using standard deviation as the denominator, it
> > uses Downside
> > Deviation or "Disappointment", being the
> > (Portfolio Return
> > minus the
> > Minimum Acceptable Return (which is the Risk Free
> > Rate))/(Deviation
> > below the MAR).
> > At http://www.sortino.com/htm/Sortino%20Ratio.htm
> > S. Satchel wrote->
> > "I would like to make it clear that it was not my
> > idea to call
> > this
> > the Sortino ratio. It was Brian Rom's idea at
> > Investment
> > Technologies. This came out of research I did in
> > the early 80's.
> > The first reference was in the Financial Executive
> > Magazine, August
> > 1980. The first calculation was in the Journal of
> > Risk Management,
> > September 1981. I think it was an improvement then
> > in that it
> > measured risk as deviations below the investor's
> > MAR. The numerator
> > measured return in excess of the MAR. Thus it is
> > goal oriented in
> > that it measures performance relative to the goal
> > the investor is
> > trying to achieve instead measuring performance
> > relative to the
> > market. In that respect I believe it is better than
> > the Sharpe ratio
> > or the information ratio which measure how well one
> > is doing relative
> > to the t-bill rate and market index respectively"
> >
> >
> >
> >
>
>
>
>
> ____________________________________________________
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