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: In the extreme case of a system that has no losses whatsoever, you'd
: get a lower sharpe ratio on a system that consistently has variable
: returns higher than the risk free rate, compared to a system that
: has low non-varying returns. Either system has no downside risk,
: yet the one that grows your equity the fastest is penalized. To me,
: this doesn't make sense.
Like you wrote, that's an extreme case in an idealized world. In the real
world, if you started out with nothing, at some point, preservation of
capital becomes paramount and minimizing risk is the priority.
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