Re[2]: Yes on Sharpe Ratio, BUT is it enough?

[Ernie Bonugli <ebonugli@xxxxxxxx>]

The main point I was trying to answer was whether there is more to a
successful system than just the Sharpe Ratio.  I posed the question by
presenting the result of a system which I developed which shows a
relatively "good" Sharpe number and yet we can see that the system
goes flat at certain times in its history.  I do not use this system.

My personal conclusion is that while Sharpe gives us a very good
indicator for the "goodness" of the system, it is not all telling. Or
if it is all telling then a system with a ratio of 4 or less is not
all that good.  If the Sharpe ratio is the best measure of "goodness" then
the system only becomes worthy of being put into production is it exhibits
well over a value of 4.  My current best effort is ~4.5.  So a Sharpe of 5
or better would allow me to sleep at nite knowing my funds are well invested.

So should the scale be read as follows:

< 2  - start on another idea, discard this one
2-3  - maybe or "shows potential", if the idea is its primitive form, ie no tweaking.
4-5  - ok, may be production worthy, but keep an eye I on it,
5-10 - good, you can rest now!

This scale probably shows my bias and state of affairs.


-- 
Best regards,
 Ernie                            mailto:ebonugli@xxxxxxxx