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

[Craig <craigbud@xxxxxxxxxxx>]

You can diversify by mixing markets that have negative covariance.

At 09:21 PM 1/7/2002 +0200, Ivo Karindi wrote:
>But if the percntage of losses vs. the percntage of winners remains the
>same, he still will have a certain number of losses in a row somewhere down
>the road.  More winners vs. losers will make it less likely to happen.  I
>had the impression the main concen here were the flat/downward periods in
>the equity curve.  Of course, another solution might be increasing the trade
>frequency through diversification, which might cure the "hard-to-sleep"
>periods as well.
>
>Ivo
>
>-----Original Message-----
>From: M. Simms [mailto:prosys@xxxxxxxxxxxxxxxx]
>Sent: Monday, January 07, 2002 12:42 AM
>To: omega-list@xxxxxxxxxx
>Subject: RE: Yes on Sharpe Ratio, BUT is it enough?
>
>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