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>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?
It seems that the problem you encountered (a high Sharpe ratio for
result that have a long flat period) might be fixed by the "Sharper
ratio" described in the Excel spreadsheet at
http://www.medianline.com/sharperatioexample.xls
The difference between the Sharpe ratio and the Sharper ratio is
the way they penalize drawdowns versus profits. The Sharpe ratio
penalizes upside as well as downside volatility. The Sharper ratio
doesn't penalize profitable periods but does penalize drawdowns (and
possibly flats; I haven't looked into it).
I'm not well versed enough in TS yet to know how to implement it,
or how to incorporate my OWN calculation as something for TS to
optimize. (is that even possible?)
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
//___) Unicorn Research Corporation -- http://unicorn.us.com
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