What is a meaningful minimum for Sharp Ratio?
Optimizing a strategy using balance graph and comparing results with "Balance + max Sharpe Ratio" criterion - the article
post #4 - description
Mathematics in Trading: How to Estimate Trade Results - how Sharp ratio is calculated
Sharpe Ratio, Modified Sharpe Ratio and Annual Sharpe Ratio - the article
Optimizing a strategy using balance graph and comparing results with "Balance + max Sharpe Ratio" criterion
- www.mql5.com
During my work, it dawned upon me that it is already insufficient for the balance graph to grow on history. In addition, we need it to be smooth enough. In other words, the mean-square deviation from a trend line should be as small as possible. This means that we also want stability apart from profit. To achieve it, let's check yet another...
Sergey Golubev:
Optimizing a strategy using balance graph and comparing results with "Balance + max Sharpe Ratio" criterion - the article
post #4 - description
Mathematics in Trading: How to Estimate Trade Results - how Sharp ratio is calculated
Sharpe Ratio, Modified Sharpe Ratio and Annual Sharpe Ratio - the article
Thank you, Sergey.
Do you know why I can't find the Balance + max sharp ratio in my tester?
Dear experienced traders
How do you decide the minimum for Sharp Ratio?
There is a filter in MT5 which we can set Sharp Ration over 0.5.
I'm testing some EA for 10 years stress test, I think it is very difficult to keep Sharp Ration over 0.5. (If you keep Sharp Ration over 0.5, the trade time will reduce to a lot.)
Could you tell us something about the criteria for Sharp Ration?
Thank you in advance and best wishes,
Sky