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Tony:
The Sharpe ratio is dependent upon timeframe.
You have to choose your timeframe in advance. More trades are generally
going to create better ratios, but there is no guarantee of that. You can
see how I use it on my web site:
----- Original Message -----
Sent: Saturday, April 29, 2006 7:22
AM
Subject: [amibroker] Sharpe Ratio
Sharpe usually is calculated based on monthly returns.
Using
a month return 'averages' the returns and usually gives less
deviation.
That usually gives a better Sharpe Ratio.
If the system
trades 100x a month it gives a nice averaging effect.
But what if a system
only trades 1 time a month or even less?
Then there is no benefit of
averaging and the Sharpe Ratio usually
will be (much) worse.
Is there
any documentation on how to act in such situations?
Just average blocks of
10 trades for example?
--
May the pips be with you,
--[
TraderSeven ]---
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