Re: What can be expected, Sharpe Ratio wise, on an intradaysystem?

[Bob Fulks <bfulks@xxxxxxxxxxxx>]

At 8:29 AM -0600 12/24/01, Ernie Bonugli wrote:

>What is a good Sharpe Ratio number? I know my equity curves start to
>approach acceptability when the Sharpe Ratio starts to go above 2.5.
>Is it reasonable to assume that a > 4.5 Sharpe ratio can be obtained
>from an 30 minute bar breakout system? At what level are some of the
>successful systems operating at?

Above 2.0 is pretty good. Above 3.0 very good.

I have seen numbers as high as 6 to 10 but these are very rare.

Keep in mind that the numbers reported by TradeStation 2000i are not correct in the general case. (They are roughly correct for an account size of $100,000.)

Bob Fulks