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In my opinion this has more to do with probabilities not so much with Sharpe
Ratio or Profit factor. In order to decrease the probability of flat
periods, you should increase the %profitable number while maintaining the
avg win/avg loss ratio.
Ivo
-----Original Message-----
From: Ernie Bonugli [mailto:ebonugli@xxxxxxxx]
Sent: Sunday, January 06, 2002 2:27 AM
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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