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>From: Mark Johnson <janitor@xxxxxxxxxxxx>
>what can actually be realized
>using actual trades and actual fills and actual
>markets, is a Sharpe ratio slightly less than 1.
>Not 3, not 3-to-5, not greater-than-5. Less than 1.
>That's the bad news. The good news is, you can
>make >100% profits per year, even with a Sharpe
>ratio less than 1. Larry Williams proved it.
>Richard Dennis and the Turtles proved it. Michelle
>Williams proved it. You and $395 worth of Pinnacle
>Data, and $3000 worth of Trading Recipes software
>can prove it too.
>
>--
> Mark Johnson Silicon Valley, California mark@xxxxxxxxxxxx
Bob Fulks wrote:
>A "decent" trading system will have a Sharpe Ratio of at least 2. I usually
>shoot for at least 3. My best ones are over 5 and I have seen values as
>high as 10 for really great systems.<
Just to clear up a thought: my "3-5" comment was plucked arbitrarily from
Bob's post. My thought was that many (if not most) of the trading world will
never write a system as good as the ones in the dregs of Bob's (and a few
others) hard drives. If that is the case, maybe "trade the best and sell the
rest" isn't always a bad idea.
Bill Wynne
Bill@xxxxxxxxxxxxxxx
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