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I came to the conclusion that because its a longer
term system and trendfollowing, this happens to the
best systems or funds. So Ill keep trading it.
www.100womeninhedgefunds.org/Life_at_Sharpe_s_End.pdf
--- vlanschot <ecbu@xxxxxxxxxxxxxx> wrote:
> Let's focus on the Sharpe ratio. There is never a
> clear-cut answer
> for this, except that you'd obviously prefer a
> higher ratio.
>
> But be careful, as the Big Man himself pointed out
> in a specific
> article on the Sharpe Ratio:
>
> "Certainly, the use of unadjusted historic (ex post)
> Sharpe Ratios
> as surrogates for unbiased predictions of ex ante
> ratios is subject
> to serious question."
>
> Nevertheless: "Despite such caveats, there is much
> to recommend a
> measure that at least takes into account both risk
> and expected
> return over any alternative that focuses only on the
> latter."
>
> The point is that a.o. the Sharpe ratio is a
> relative measure to
> compare strategies/performances, and that its
> acceptance is related
> to individual risk tolerances. A 0.27 return
> compensation for each
> unit of risk may be acceptable to you, but not to
> somebody else.
>
> I suggest you first get acquianted with the concepts
> before drawing
> conclusions. Plenty of textbooks on this one, or go
> the Sharpe's
> website at Stanford:
>
> http://www.stanford.edu/~wfsharpe/
>
> PS
>
> --- In amibroker@xxxxxxxxxxxxxxx, eric paradis
> <thechemistrybetweenus@xxxx> wrote:
> >
> > The User Guide says I need to have a K Ratio of
> .5
> > and a sharpe ratio of 1. My strategy is very long
> term
> > and earns alot, but its K ratio is .09 and my
> sharpe
> > ratio is .27 according to the backtest. Im happy
> with
> > the trades and returns of the system, so what
> gives?
> > Do I ignore my ununsual ratio numbers and keep
> trading
> > it? Anyone have a similar experience?
> >
> > Thanks
> >
> > Eric
> >
> >
> >
> > __________________________________
> > Yahoo! FareChase: Search multiple travel sites in
> one click.
> > http://farechase.yahoo.com
> >
>
>
>
>
>
>
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