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I think Maxime meant this for the list....
-------- Original Message --------
Subject: Re: SHARPE IS USELESS
Date: Thu, 21 Sep 2000 14:21:14 +0200
From: "Maxime" <omegalist@xxxxxxxxxxxxxxx>
Reply-To: "Maxime" <omegalist@xxxxxxxxxxxxxxx>
To: "DH" <catapult@xxxxxxxxxxx>
References: <00092106515107.24541@xxxxxxxxxxxxxxx> <39C9F9FD.2BCC5DE5@xxxxxxxxxxx>
Sharpe ratio is not useless, but indeed it needs other ratios to draw some
kind of conclusions when measuring performance of systems/investment
strategies.
For ex, one could use the Sterling ratio and/or the U-P ratio and/or the
Sortino ratio.
For info about these, see:
http://www.sortino.com/htm/Upside%20Potential.htm
or more generally:
http://www.sortino.com
Good trading to all.
Maxime
> > 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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