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RE: Yes on Sharpe Ratio, BUT is it enough?



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or WAIT....maybe this particular system would be more conducive towards
improving the win/loss ratio and should not worry about the %wins ??????


> -----Original Message-----
> From: Ivo Karindi [mailto:ivo@xxxxxxxxx]
> Sent: Sunday, January 06, 2002 4:43 PM
> To: Ernie Bonugli; omega-list@xxxxxxxxxx
> Subject: RE: Yes on Sharpe Ratio, BUT is it enough?
>
>
> 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
>