|
PureBytes Links
Trading Reference Links
|
My favorite
subject/issue--performance measurement. The most preferred benchmark by which
investment and/or trading results are measured is the Sharpe ratio. However, imo
there's a valid modification one should make to this measure. The Sharpe ratio
assumes the risk-free rate is the interest rate of 90 day Government
paper. That's unreasonable as there are plenty of alternatives that aren't
classified as junk paper--270 day BBB+ Corporate notes, for example. Even
GM short-term paper is still pretty much risk-free!
Therefore, a modified Sharpe
ratio (MSR) would be: annualized daily average return less the Corporate
short-term interest rate, divided by the standard deviation of the annualized
daily average return, is 'my' benchmark for investment and/or trading. When
calculations are annualized short-term or long-term isn't too
relevant.
If your trading systems
can't exceed 1.5 MSR--the higher the number the better the performance--it's
back to the drawing board. fwiw, very few mutual funds exceed 1.0 MSR :). Very
good hedge managers obtain 2.0+ MSR.
Colin
West
upi is the most important personally, some metric that
measures
semi-standard deviation.
----- Original Message -----
From: "eric paradis" <thechemistrybetweenus@xxxxxxxxx>
To:
<amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, December 13, 2005 4:06
PM
Subject: Re: [amibroker] What metrics do you use for comparing systems
?
> drawdown, annual return, time from drawdown to new
>
high, # of trades, win/loss %, avg winner , avg loser.
> Should be enough
there to come up with a good idea
> about what is a good
system.
>
> Eric
>
> --- Condottiere
<manset01@xxxxxxxx> wrote:
>
> > Hi,
> >
>
> I am relatively new to trading and I've been going
> > through a
variety of
> > sources about system comparison and robustness
(i.e
> > Kaufman and so on).
> > However, I'd be really
interested in what serious
> > traders find useful in
> > the
real world.
> > For instance, do you use standard metrics or
custom
> > metrics ?
> >
> > Manu thanks for your
thoughts and your guidance.
> >
> >
> >
>
>
> >
>
>
>
___________________________________________________________________________
>
>
> > Appel audio GRATUIT partout dans le monde avec le
> >
nouveau Yahoo! Messenger
> > Téléchargez cette version sur
> >
http://fr.messenger.yahoo.com
>
>
> >
> >
>
>
>
__________________________________________________
> Do You
Yahoo!?
> Tired of spam? Yahoo! Mail has the best spam protection
around
> http://mail.yahoo.com
>
>
>
>
Please note that this group is for discussion between users
only.
>
> To get support from AmiBroker please send an e-mail
directly to
> SUPPORT {at} amibroker.com
>
> For other support
material please check also:
> http://www.amibroker.com/support.html
>
>
>
Yahoo! Groups
Links
>
>
>
>
>
>
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
YAHOO! GROUPS LINKS
|