|
PureBytes Links
Trading Reference Links
|
At 8:00 PM -0400 10/12/01, sptrader@xxxxxxxxxxxx wrote:
>"--" <andy@xxxxxxxxxx> wrote:
>
>>Speaking of shit that doesn't work, the rina system's portfolio analysis
>>sucks. Notice that the Sharpe ratio is negative in the report yet the equity
> >curve is positive.
>
>Hmmm.... Your negative Sharpe ratio is RINA'S responsibility?
The Sharpe Ratio calculation in TS2000i (provided by Rina Systems) is
not correct.
When I mentioned this on another list, the people at Rina Systems
contacted me and we discussed the calculation. They understood the
issues and said they would correct the calculation in the package
they sell. But they said they said that getting the new calculation
into TradeStation was beyond their control...
I found it refreshing that the company responded so quickly to the
criticism, unlike what we have come to expect from Omega...
Bob Fulks
|