Machine learning in trading: theory, models, practice and algo-trading - page 1141
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It does not depend on it, since it is calculated as Ki=balance_after_fixing_profit_loss/balance_before_fixing_result after fixing the result of the i-th trade.
The Kn row contains values in the neighborhood of 1:
I took your report, copied trades from it and made a calculation in Excel on their basis. File attached
As you can see, the Sharpe Ratio is calculated correctly in the test report.
Thanks for the example calculation!
And yet the dependence on the initial deposit size is present, but not so substantial, I looked through the Excel file and checked this dependence in the same place, after adding the formulas for calculating the balance.
Thanks for the example calculation!
And yet there is a dependence on the initial deposit size.
Show it right here, or I will have to ban you.
PS Assumed a reasonable initial deposit and lot size for trade. Not too small and not too big. And then the question will not arise why the average profit of $1 on a deposit of $100 k shows a worse Sharp than the average profit of $100 on a deposit of $1000.
Show me right here, or I'll have to ban you.
It's time to introduce a mandatory exam on theorists for admission to the forum))
How do I calculate the Sharpe Ratio for one trade?
No way) You need at least two - to calculate the sampling variance)
Why are you pestering me with this Sharpe Ratio? I don't know, and I'm not going to. There are ordinary statistical criteria, they should be used.
The Sharpe coefficient is also quite common. Basically, the average without dimensionality.
The Sharpe coefficient is also quite usual. Basically, an average without dimensionality.
In fact, I do). The criterion is about nothing.
In fact, I do). The parameter is about nothing.
As I understand it - gives an understanding of the over-waiting
If you do not have to wait, then it will be high.
If you do not have to wait it out, then it will be high, but from the point of view of fixed loss/income it is kind of interesting.
In fact, I do.) The criterion is about nothing.
It is quite a good initial estimate of the statistical significance of the difference between the mean and zero. Moreover, it works without the assumption of normal distribution due to Chebyshev's inequality.
Its disadvantage is that it does not distinguish "good" deviations from the mean from "bad", but there is a drawdown for that.
First, the formulas can be found in the article Mathematics in Trading. Evaluating the results of trading trades.
Secondly, the article shows that the Sharpe is calculated on the basis of trade results (trades) and not on equity fluctuations.
I replied in the topic about errors https://www.mql5.com/ru/forum/1111/page2318#comment_9255798