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Last time I was looking at the Sharpe ratio, with a spreadsheet, I was
getting numbers like 2.3 - 2.6.
Trying similar stuff with the Portfolio Maximizer program the number is
more like 0.6 or so. But the equity curve is about the same. What gives??
This number is for two subsystems run together in 1 EL system. If however I
run each system separately, and then combine them with the Maximizer, the
sharp ratio is cut about in 1/2. Even though the curve and the total profit
numbers are identical. So there's something I need to understand here as
well.
Has anybody looked at this program? As usual the documentation is uselessly
brief.
Thanks..
Phil
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