Re: [amibroker] What metrics do you use for comparing systems ?

["cstrader" <cstrader232@xxxxxxxxxxxx>]

Thanks Colin... v. nice

 

----- Original Message -----

From: cwest

To: amibroker@xxxxxxxxxxxxxxx

Sent: Saturday, December 17, 2005 8:05 AM

Subject: RE: [amibroker] What metrics do you use for comparing systems ?

I'm new to AmiBroker, but certainly not new to trading :) Here's some code for measuring 'my' risk-ratio. Perhaps someone else can expand it to include a second symbol that represents an interest rate, which can be deducted from the return before dividing it by the standard deviation.

_SECTION_BEGIN("riskratio");
//risk ratio is the annualized daily return divided by the annualized standard deviation. risk ratio = rr
//dailyreturn = dr
//annualized daily return = drpa
//annulaized stdev = sdpa

dr=log(Close/Ref(Close,-1));
drpa=MA(dr,253)*253;
sdpa=StDev(dr,253)*sqrt(253);
rr=drpa/sdpa;
Plot(rr,"risk ratio", colorRed);
_SECTION_END();

Colin

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From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Evo1
Sent: Wednesday, December 14, 2005 2:07 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] What metrics do you use for comparing systems ?

Hi,

Thank you all for sharing your thoughts.
Considering I am a newcomer to trading, it is very interesting to learn from serious traders. Nothing replaces experience.

By the way Colin, might you post the AFL code of your MSR ?

Tia,
Regards,
Evo1


cwest a écrit :

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

Hi,





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