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"...fwiw, very few mutual funds exceed 1.0 MSR :). Very good hedge
managers obtain 2.0+ MSR...
Interesting! Thanks, Colin.
S.
--- In amibroker@xxxxxxxxxxxxxxx, "cwest" <cwest@xxxx> wrote:
>
> 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
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Erik Skyba
> Sent: Tuesday, December 13, 2005 4:52 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] What metrics do you use for comparing
systems ?
>
>
> upi is the most important personally, some metric that measures
> semi-standard deviation.
>
> ----- Original Message -----
> From: "eric paradis" <thechemistrybetweenus@xxxx>
> 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@xxxx> 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.
> > >
> > >
> > >
> > >
> > >
> > >
> >
>
______________________________________________________________________
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> >
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