|
PureBytes Links
Trading Reference Links
|
At 9:18 PM -0400 8/21/98, Scott Hoffman wrote:
>I measure all my systems with a variant of the Sharpe ratio. I doesn't
>have to be the exact definition of Sharpe ratio. Just something that takes
>the ratio of gain to risk normalized for time. You can always lever a
>system up or down to make more profits at the expense of more risk.
At 10:35 PM -0400 8/21/98, ZooKeeper wrote:
>How about ROA? Anybody besides me uses Return on Account? It is the
>NetProfit divided by acount size required (which includes drawdown per
>contract and marginper contract). Any opinions?
I also optimize for highest Sharpe Ratio which, in effect, gives the
smoothest equity curve.
Sharpe ratio = (Annualized return - Risk free return)/
Annualized standard deviation of periodic returns.
Thus, the highest Sharpe Ratio is the combination with the highest
annualized returns and with the lowest standard deviation of returns.
But since TradeStation does not provide this as an option, I find that the
parameter set that maximizes ROA tends to be close to that which optimizes
Sharpe Ratio.
Bob Fulks
|