Re: "The Sharpe Engine" My 2008 project

[DH <catapult@xxxxxxxxxxxxxxxxxx>]

Following up on my last post, here's a pseudo-Sharpe-type calc that
shows downside volatility is penalized more than upside volatility.
There are two series of identical trades making either 1 or 2 points
except the first series has a 10 point winner and the second has a 10
point loser. The first series has a pseudo-Sharpe score of nearly 3x the
second one.

1	1	trade profit or loss
2	2	
1	1	
2	2	
1	1	
2	2	
1	1	
2	2	
1	1	
2	2	
10	-10	
2	2	
1	1	
2	2	
1	1	
2	2	
1	1	
2	2	
1	1	
2	2	
		
39	19	net profit
1.96	2.63	std dev
19.90	7.24	pseudo-sharpe ratio

-- 
  Dennis