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Thanks everybody for sending in links and formulas ...
The reason for some Sharpe Ratio stuff is that,
1. am testing some trading models.
2. want a more concrete report on sharpe per each
scenerio in the optimization.
3. Sharpe not in TS.
4. so want to somehow cumulate that information
during optimization - (trick TS into fileappend
out the data).
5. trouble is that I need non-trade based data,
based on what I know about Sharpe Ratio. Instead,
I need time interval based data on the equity
curve.
6. thus, there is a problem of open trade that
span across the time partitioning.
i.e. weekly sampling, monthly, etc.
Anyone has experience in this - should I ignore
that trade and leave that to the next period; or,
by using approximation, I think I can use the
average # of bars per staying in a trade and
the total # of trades to construct a multiplier
to the trade by trade standard deviation ...
All input are welcome.
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Lawrence Chan http://www.tickquest.com
Home of trading tools NeoBreadth and NeoTicker series
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