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Thank you.
Your contributions are of extreme value to me. It is so easy taking the
wrong route in thinking and the help with when one is on track or of track
is invaluable. Specially when the results deviates further and further from
Tradestions way of looking at them. I have got much use of some of the code
you often help with.
> -----Original Message-----
> From: Bob Fulks [mailto:bfulks@xxxxxxxxxxxx]
> Sent: den 27 augusti 2002 00:55
> To: Bengtsson, Mats
> Cc: omega-list@xxxxxxxxxx
> Subject: Re: A follow up to previous questions on Sharpe
>
>
> >Really, the sharpe value for the second system should be calculated
> >only for those times where money is put at risk. Is there any reason
> >not to look at it in that way?
>
> You are correct.
>
> In this case you need to "stop time" and not count the days
> when you are not using the money (the money is used for other things).
>
> I have a version of my Sharpe Ratio measurement system that
> allows this. One of the input parameters is "StopTime":
>
> StopTime: TRUE - Does not include days when the MarketPosition = 0
> (not long or short) in the calculation. In effect, it
> bases the calculation on days when the system is in the
> market. This is useful when unused cash balances are
> used for other trades during periods when this system
> is flat.
>
> I will post it sometime after I have a chance to document it better.
>
> Bob Fulks
>
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