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Is Sharp ratio code available for TS4 or PS2000i, or is it too complex to
implement in .ela?
BR
----- Original Message -----
From: Bob Fulks <bfulks@xxxxxxxxxxxx>
To: ROBERT ROESKE <bobrabcd@xxxxxxxxxxxxxxx>
Cc: RealTraders <realtraders@xxxxxxxxxxxx>; CL <code-list@xxxxxxxxxxxxx>
Sent: Wednesday, July 07, 1999 12:24 PM
Subject: Re: Gen - system indicators continued
> At 9:58 AM -0700 7/7/99, ROBERT ROESKE wrote:
>
> >Here is another derivation of the System Equity Indicator for
> >evaluating and tracking performance of a TS4 system.
> >
> >It is simply the ratio of closed equity to buy and hold. Below it
> >is the open,closed,bnh indicator from yesterday. The OEYGP chart is
> >what could have been achieved buying an at the money call on the
> >last buy signal and exiting on the last sell signal.
>
>
> Comparing the equity curve of a trading system with buy/hold would
> not seem very meaningful to me without also comparing the variability
> of the returns (as something like the Sharpe Ratio does).
>
> Returns can be made arbitrarily large or small by using varying
> degrees of leverage so returns alone are not a good measure of the
> worth of a trading strategy.
>
> For example, a futures trading system with a 10% return and a 5%
> standard deviation of returns is much better than a system with a 30%
> return and a 30% standard deviation of returns. The former system can
> easily be leveraged to provide (about) a 60% return with the same 30%
> standard deviation as the latter system.
>
> Bob Fulks
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