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<DIV><FONT face=Courier>Guy</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Courier>Unit consistency should be considered, either you use
decimals or percentages in ALL the equation.</FONT></DIV>
<DIV><FONT face=Courier></FONT> </DIV>
<DIV><FONT face=Courier>In essence Sharpe says how much extra premium
someone is doing per unit of total risk (systemic and non systemic risk
altogether)</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Courier>(.348-.05)/.515=.578</FONT></DIV>
<DIV><FONT face=Courier> OR </FONT></DIV>
<DIV><FONT face=Courier>(34.8%-5%)/51.5%= 57.8%</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Courier>Sharpe is a ratio that measures funds'
efficiency by comparing if the return (numerator) is worth the rock and
roll.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Courier>The practical application is to compare several funds
(lets say your future position against your valualine stocks) and see which one
addresses reward/risk ratio better.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Courier>Moreover, you can fine tune the funds to maintain a
target reward or risk (or both) by modifying leverage, beta, etc.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Courier>Treynor ratio measures the same reward against beta, but
that is another issue.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Courier>I hope I have not been confusing as I am writing this in
an hurry. I will check the books tonight to see if I have missed
somenthing.</FONT></DIV>
<DIV> </DIV>
<DIV> </DIV>
<DIV> </DIV>
<DIV><FONT face=Courier>Regards,</FONT></DIV>
<DIV><BR>Nicolas Leupold<BR><A
href="mailto:leupold@xxxxxxxxxx";>leupold@xxxxxxxxxx</A></DIV>
<DIV><FONT face=Courier>Buenos Aires<BR></FONT></DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
Guy Tann </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A
href="mailto:metastock@xxxxxxxxxxxxx";
title=metastock@xxxxxxxxxxxxx>metastock@xxxxxxxxxxxxx</A> </DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> 10 July 2000 23:40</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> RE: Optimal f code for
Tradestation</DIV>
<DIV><BR></DIV>
<DIV class=Section1>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">Jean-Roland,<o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]> <![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">Many
thanks.<SPAN style="mso-spacerun: yes"> </SPAN>Now all I have to do is
try to figure out how to apply it. </SPAN></FONT></SPAN><SPAN
class=EmailStyle17><FONT color=navy face=Wingdings size=2><SPAN
style="FONT-FAMILY: Wingdings; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt; mso-ascii-font-family: Arial; mso-hansi-font-family: Arial; mso-char-type: symbol; mso-symbol-font-family: Wingdings"><SPAN
style="mso-char-type: symbol; mso-symbol-font-family: Wingdings">J</SPAN></SPAN></FONT></SPAN><SPAN
class=EmailStyle17><FONT color=navy face=Arial size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]> <![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">We
have no expected return in our trading system, let alone a standard deviation
of the returns.<SPAN style="mso-spacerun: yes"> </SPAN>I guess I could
fudge our numbers and give it a try using our actual average (net)
return.<o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]> <![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">Since
last October, we have twenty (real, live) trades to work with.<SPAN
style="mso-spacerun: yes"> </SPAN>Our average return is $1,631 or
34.79%.<SPAN style="mso-spacerun: yes"> </SPAN>The standard deviation is
.5788 (according to my trusty Excel spreadsheet).<SPAN
style="mso-spacerun: yes"> </SPAN>Assuming a risk free interest rate of
5%, let’s see what we calculate.<o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]> <![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">SR =
(34.79-5.00)/.5788<o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">SR =
51.469<o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]> <![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">Does
this make sense?<SPAN style="mso-spacerun: yes">
</SPAN><o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]> <![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">Now
that I have the Sharpe Ratio, I better go back and reread John’s posts to
discover what to do next.<o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial
size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]> <![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoAutoSig><!--[if supportFields]><span class=EmailStyle17><font
size=2 color=navy face=Arial><span style='font-size:10.0pt;mso-bidi-font-size:
12.0pt;font-family:Arial'><span style='mso-element:field-begin'></span><span
style="mso-spacerun: yes"> </span>AUTOTEXTLIST \s "E-mail
Signature" <span style='mso-element:field-separator'></span></span></font></span><![endif]--><FONT
color=navy><SPAN style="COLOR: navy">Guy</SPAN></FONT><FONT color=navy><SPAN
style="COLOR: navy; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoAutoSig><FONT color=navy face="Times New Roman" size=3><SPAN
style="COLOR: navy; FONT-SIZE: 12pt"><![if !supportEmptyParas]> <![endif]></SPAN></FONT><FONT
color=navy><SPAN
style="COLOR: navy; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoAutoSig><FONT color=navy face="Times New Roman" size=3><SPAN
style="COLOR: navy; FONT-SIZE: 12pt">Paranoia...you only have to be right once
to make it all worthwhile!</SPAN></FONT><FONT color=navy><SPAN
style="COLOR: navy; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal><!--[if supportFields]><span class=EmailStyle17><font
size=2 color=navy face=Arial><span style='font-size:10.0pt;mso-bidi-font-size:
12.0pt;font-family:Arial'><span style='mso-element:field-end'></span></span></font></span><![endif]--><SPAN
class=EmailStyle17><FONT color=navy face=Arial size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]> <![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
<P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black face=Tahoma
size=2><SPAN
style="COLOR: black; FONT-FAMILY: Tahoma; FONT-SIZE: 10pt">-----Original
Message-----<BR><B><SPAN style="FONT-WEIGHT: bold">From:</SPAN></B>
owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]<B><SPAN
style="FONT-WEIGHT: bold">On Behalf Of </SPAN></B>Jean-Roland
Quastana<BR><B><SPAN style="FONT-WEIGHT: bold">Sent:</SPAN></B> Monday, July
10, 2000 3:00 PM<BR><B><SPAN style="FONT-WEIGHT: bold">To:</SPAN></B>
metastock@xxxxxxxxxxxxx<BR><B><SPAN
style="FONT-WEIGHT: bold">Subject:</SPAN></B> Re: Optimal f code for
Tradestation</SPAN></FONT></P>
<P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT face="Times New Roman"
size=3><SPAN style="FONT-SIZE: 12pt"><![if !supportEmptyParas]> <![endif]><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black face=Tahoma
size=3><SPAN style="COLOR: black; FONT-FAMILY: Tahoma; FONT-SIZE: 12pt">Sharpe
Ratio : SR = (E-I)/s</SPAN></FONT><FONT color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black
face="Times New Roman" size=3><SPAN
style="COLOR: black; FONT-SIZE: 12pt"> </SPAN></FONT><FONT
color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black face=Tahoma
size=3><SPAN style="COLOR: black; FONT-FAMILY: Tahoma; FONT-SIZE: 12pt">where
E is expected return, I is risk-free interest rate and s is standard deviation
of the returns.</SPAN></FONT><FONT color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black
face="Times New Roman" size=3><SPAN
style="COLOR: black; FONT-SIZE: 12pt"> </SPAN></FONT><FONT
color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black face=Tahoma
size=3><SPAN style="COLOR: black; FONT-FAMILY: Tahoma; FONT-SIZE: 12pt">Hope
this help...</SPAN></FONT><FONT color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black
face="Times New Roman" size=3><SPAN
style="COLOR: black; FONT-SIZE: 12pt"> </SPAN></FONT><FONT
color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black face=Tahoma
size=3><SPAN
style="COLOR: black; FONT-FAMILY: Tahoma; FONT-SIZE: 12pt">Jean-Roland</SPAN></FONT><FONT
color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<DIV
style="BORDER-BOTTOM: medium none; BORDER-LEFT: black 1.5pt solid; BORDER-RIGHT: medium none; BORDER-TOP: medium none; PADDING-BOTTOM: 0in; PADDING-LEFT: 4pt; PADDING-RIGHT: 0in; PADDING-TOP: 0in">
<P class=MsoNormal
style="BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><FONT
color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt">----- Original
Message ----- </SPAN></FONT><FONT color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal
style="BACKGROUND: #e4e4e4; BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><B><FONT
color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; FONT-WEIGHT: bold">
<DIV style="font-color: black">From:</SPAN></FONT></B><FONT color=black
face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt"> <A
href="mailto:grt@xxxxxxxxxxxx"; title=grt@xxxxxxxxxxxx>Guy Tann</A>
</SPAN></FONT></DIV><FONT color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT>
<P></P>
<P class=MsoNormal
style="BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><B><FONT
color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; FONT-WEIGHT: bold">To:</SPAN></FONT></B><FONT
color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt"> <A
href="mailto:metastock@xxxxxxxxxxxxx";
title=metastock@xxxxxxxxxxxxx>metastock@xxxxxxxxxxxxx</A> </SPAN></FONT><FONT
color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal
style="BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><B><FONT
color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; FONT-WEIGHT: bold">Sent:</SPAN></FONT></B><FONT
color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt"> Monday, July 10,
2000 8:45 PM</SPAN></FONT><FONT color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal
style="BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><B><FONT
color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; FONT-WEIGHT: bold">Subject:</SPAN></FONT></B><FONT
color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt"> RE: Optimal f code
for Tradestation</SPAN></FONT><FONT color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal
style="BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><FONT
color=black face="Times New Roman" size=3><SPAN
style="COLOR: black; FONT-SIZE: 12pt"><![if !supportEmptyParas]> <![endif]></SPAN></FONT><FONT
color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal
style="BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-BOTTOM: 12pt; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><FONT
color=black face="Times New Roman" size=3><SPAN
style="COLOR: black; FONT-SIZE: 12pt">John,<BR><BR>Could you ask him the
formula for the Sharpe Ratio.<BR><BR>Thanks,<BR><BR>Guy<BR><BR>Paranoia...you
only have to be right once to make it all worthwhile!<BR
style="mso-special-character: line-break"><![if !supportLineBreakNewLine]><BR
style="mso-special-character: line-break"><![endif]></SPAN></FONT><FONT
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From: "Lonnie Lepp" <tllepp@xxxxxx>
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Date: Tue, 11 Jul 2000 09:18:09 -0500
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