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Ever consider getting a Sharpe "snapshot" every 100 trades ?
I think you'll discover a poor Sharpe Ratio during trade 400->500.
> -----Original Message-----
> From: Ernie Bonugli [mailto:ebonugli@xxxxxxxx]
> Sent: Saturday, January 05, 2002 7:27 PM
> To: omega-list@xxxxxxxxxx
> Subject: Yes on Sharpe Ratio, BUT is it enough?
>
>
> Hello Bob and Omegalist,
>
> I shoot for a high Sharpe Ratio. But here is a case where we have a
> 3.78 Sharpe Ratio and yet if you look at the equity curve, you will
> notice how the curve goes flat around the 450th trade for around 50
> trades and at several other times.
>
>
> The system starts out with trading 5000 shares of QQQ, the signals
> are based on the NDX. I DO NOT trade this
> system for several reasons. So please feel free to comment. It
> went long 8100 shares on 1/3/02 at the beginning of the 1st bar of
> the day.
>
> So my question, while the Sharpe ratio, gives us a very good
> indication of the performance, is there more to it than just this
> ratio? Here you have a system that has historically gone flat.
>
>
> Net Profit $1,320,275.43
> Open Position $9,740.25
> Gross Profit $2,396,897.28
> Interest Earned $28,900.35
> Gross Loss ($1,076,621.84)
> Commission Paid $38,535.72
> Percent profitable 55.69%
> Profit factor 2.23
> Ratio avg. win/avg. loss 1.77
> Adjusted profit factor 2.00
> Annual Rate of Return 70.36%
> Sharpe Ratio 3.78 <<<<<<<--------------
> Return on Initial Capital 1320.28%
> Return Retracement Ratio 166.75
> Return on Max. Drawdown 2040.28%
> K-Ratio 3.28
> Buy/Hold return 92.75%
> RINA Index 682.12
> Cumulative return 1221.70%
> Percent in the market 44.03%
> Adjusted Net Profit $1,134,670.15
> Select Net Profit $925,167.25
> Adjusted Gross Profit $2,273,450.79
> Select Gross Profit $2,001,789.09
> Adjusted Gross Loss ($1,138,780.63)
> Select Gross Loss ($1,076,621.84)
> Return on account 2361.21%
>
> Number of total trades 677
> Average trade $1,950.19
> Avg. trade ± 1 STDEV $9,743.48/($5,843.11)
> 1 Std. Deviation (STDEV) $7,793.29
> Coefficient of variation 399.62%
>
> Run-up
> Maximum Run-up $53,623.35
> Max. Run-up Date 12/20/00 2:30:00 PM
> Average Run-up $7,240.39
> Avg. trade ± 1 STDEV $15,750.37/$0.00
> 1 Std. Deviation (STDEV) $8,509.98
> Coefficient of variation 117.53%
>
> Drawdown
> Maximum Drawdown ($19,018.79)
> Max. Drawdown Date 1/3/01 12:30:00 PM
> Average Drawdown ($3,080.52)
> Avg. trade ± 1 STDEV $0.00/($6,382.74)
> 1 Std. Deviation (STDEV) $3,302.22
> Coefficient of variation 107.20%
>
> Reward/Risk Ratios
>
> Net Prft/Largest Loss 80.16
> Net Prft/Max Drawdown 69.42
> Adj Net Prft/Largest Loss 68.89
> Adj Net Prft/Max Drawdown 59.66
>
> Outlier Trades Total Trades Profit/Loss
>
> Positive outliers 12 $395,108.19
>
> Negative outliers 0 $0.00
>
> Total outliers 12 $395,108.19
>
> ***Trading period ***
> Years 4.99
> Months 59.88
> Weeks 259.47
> Days 1,821.25
> Time in the market 801
> Percent in the market 44.03%
> Longest flat period 10.81
> Avg. time in trades 1.18
> Avg. time between trades 1.50
> Avg. time in winning trades 1.49
> Avg. time between winning trades 3.31
> Avg. time in losing trades 0.79
> Avg. time between losing trades 5.28
> Avg. time between peaks (days) 16.49
>
>
> --
> Best regards,
> Ernie mailto:ebonugli@xxxxxxxx
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