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>A very nice overall measurement to use for system robustness is the
>Sharpe Ratio. Any book on trading stats will give you the formula.
>Basically, it is a volatility weighted measure of return which also
>considers the overall profit against a "non-risk" yield. (usually T-Bills)
Anybody have the ELA codes for Lars Kestner's KRatio? I heard on the
grapevines that it's a better measurement of risk than the Sharpe Ratio. Any
comments? Any codes?
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