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> The Sharpe ratio really is a very, very poor performance measure for
> traders.
That's perhaps a bit extreme. I wouldn't call it very, very poor but
rather pretty good with a few problems. But Omega Man raises some valid
points. What does Schwager recommend instead?
Personally, in addition to boiling performance down to a single number,
I always like to eyeball the equity curve. I export the data to Excel so
I can get lots of data points on a single chart window. You can get a
pretty good 'gestalt' of how straight the curve is, how smooth, how big
the drawdowns are, how long they last.... more factors than a single
number can give you. I'll do it for both EOD open equity and
date-independent closed-trade equity to get different views.
--
Dennis
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