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

[Ernie Bonugli <ebonugli@xxxxxxxx>]

Hello Bob,

Sunday, January 06, 2002, 4:35:29 PM, you wrote:

BF> At 1:48 PM -0800 1/6/02, JL wrote:

>>Is there a TradeStation code for Sharpe Ratio?

BF> I posted some code about three years ago that is pretty widely used.
BF> The ELA is attached. Also included is a demo system that shows how to
BF> use it. Please read the code in the system and the comments.

BF> The problem with this is that it is a bit hard to use and it assumes
BF> certain things about the equity curve that are not always true. In
BF> practice the errors from these funny cases are pretty small. It also
BF> works on intraday data.

BF> I have a new version I plan to finish when I get time. It is easier
BF> to use but I keep adding improvements... It also has good stuff like
Thanks to everyone that responded to the Sharpe Ratio exercise.  I really
appreciate it.
-- 
Thanks again,
Ernie                            mailto:ebonugli@xxxxxxxx