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Point is: improved win/loss OR win% ratio are both EQUALLY attractive
results towards an improved sharpe. Yes, diversification is a good idea as
well....as long as expected returns are not totally correlated.
> -----Original Message-----
> From: Ivo Karindi [mailto:ivo@xxxxxxxxx]
> Sent: Monday, January 07, 2002 2:22 PM
> To: prosys@xxxxxxxxxxxxxxxx; omega-list@xxxxxxxxxx
> Subject: RE: Yes on Sharpe Ratio, BUT is it enough?
>
>
> 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
>
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