PureBytes Links
Trading Reference Links
|
45.13 .... Max Drawdown (percent) on 920521
239 .... Days in longest drawdown ending on 960405
> Here's a www link to a free system download
> in Omega .ela format (and also plain ASCII
> for TS3 users) that tests out to have a
> much better than average Sharpe ratio:
>
> http://traderclub.com/discus/messages/18/444.html
>
> Using the exact same code and the exact same parameter
> values to trade 20 different commodity futures markets,
> the system's backtest results were
>
> 72.85 .... Compound Annual Growth Rate (percent per yr)
> 1.458 .... Sharpe Ratio
> 2.097 .... Semideviation Ratio
> 6.248 .... Return Retracement Ratio
> 1.645 .... Sterling Ratio
>
>
> All those other ratios (Semideviation, RRR, Sterling)
> are alternative ways to quantify "Reward per unit Risk"
> for those who don't like the Sharpe Ratio. One such
> person is Jack Schwager and he discusses AT LENGTH
> his reasons for not liking Sharpe, and for liking these
> others, in his book "Managed Trading: Myths and Truths".
>
> As you can see, in backtesting [NOT the same as
> real trading with real fills], the freebie system's
> Sharpe Ratio handily beats the pants off practically
> every CTA fund in existence. A complete daily equity
> curve is also provided in Excel format, for those who
> may wish to compute Sharpe ratios themselves based on
> weekly returns, monthly returns, quarterly returns,
> however you like. Download the numbers and
> crunch away.
>
> The basic oscillator inside this system closely
> mimic's Bollinger's "%B" oscillator, but instead
> of using standard deviation as an approximation
> of "volatility", this system's oscillator uses
> an exponential moving average of Welles Wilder's
> TrueRange as an approximation of "volatility".
> If you will, it replaces "Bollinger Bands" by
> "XMATR Bands". Dennis Holverstott was, to my
> knowledge anyway, the first person to correctly
> point this out.
>
> (The system appeared on the omega-list a while ago,
> but I don't know of any omega-list archive sites on
> the web, to which I might provide a hyperlink. sorry.)
>
|