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According to Omega Research, they have little knowledge of the Sharpe and
K-ratio performance report calculations. One of their esteemed Solution
Providers performed the work to integrate this into TS2000i. However, I have
discovered the performance report shows "NA" unless at least 36 MONTHS of
history is used in the strategy. I can't imagine how large the data file
would be for this amount of history !
I debate whether this much data is required when trading using 5 or 20
minute bars. Shouldn't a lower cut-off for these calculations be based on :
1) the number of bars in history... or
2) the number of trades in history ??
I've always wondered why no one has mentioned these key performance stats
before !
Anyone using K-ratio or Sharpe ?
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