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There is a code part released by Bob Fulks to calculate Sharpe. If you are
using Sharpe, use that code instead of the system report, because the system
report only gets Sharpe right under very special circumstances. I use Sharpe
and Kelly as my main way of comparing strategies, even if winpercent,
average win per trade, drawdown and yearly rate of return are other
important parameters (yearly rate of return in system report seems unusable
as well).
If you are going to see effect over a number of issues, better than using
system report is fileappending and using something to consolidate the
results.
> -----Original Message-----
> From: Jim Bronke [mailto:jvbronke@xxxxxxxx]
> Sent: den 31 augusti 2001 03:43
> To: omega-list@xxxxxxxxxx
> Subject: Wrkspace Assistant and Optimizing
>
>
> After just recently getting familiar with the Workspace
> Assistant the shortcomings are clear. Sure it can give you
> signals, but it can't optimize your strategies across a
> number of stocks. It seems that the solution to this is to
> run a performance report in your strategy used for your scan
> and output the results to a file that could be loaded in to
> Excel. I don't believe I'm covering new ground here for some
> people. I did buy Hashnums and I believe that it has more
> capabilities than the DDE tool that apparently is an
> accessory for 2000i, but I haven't heard anyone compare the
> two. The other issue is the code for the items in the
> performance report. Does anyone have it? Is it available on
> the FAQ's? It shouldn't be hard to put together but why
> reinvent the wheel. Any thoughts. Anyone worked through the code?
>
>
> thanks,
>
> Jim Bronke
> Phoenix, AZ
>
>
>
>
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