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> My first knee jerk is that the effort would be wasted on the Sharpe with
> its well known problem of treating all movement, including positive
> return, as "bad" volatility.
That's a common misunderstanding of how the Sharpe Ratio works. Roughly
speaking, the Sharpe is profit/volatility. A quick up spike in your
equity curve increases both profit and volatility so the Sharpe doesn't
penalize that spike. It also doesn't particularly reward such a one time
event because it may never happen again. A quick down spike in the
equity curve decreases profit but increases volatility and the Sharpe
penalizes one that heavily just as it should.
--
Dennis
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