According to the Sharpe ratio - page 3
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How about this?
// only for some reason the money is divided by the points, most likely the denominator is missing the cost of the point
http://smfanton.ru/forex/koefficient-sharpa.html
h ttps://www.mql5.com/ru/forum/192911
An excellent ratio >1.
The Sharpe Ratio should be at least 0.1. It shows that the trader has outlived the equity drawdown by an average of $10 in order to earn $1.
The Sharpe ratio should be at least 0.1. It shows that a trader in order to earn $1 has outlived the equity drawdown by an average of $10.
Well, I'm at 3.14 right now. Am I over sitting too?
Couldn't find your signal. On the subject, yes, a high Sharpe Ratio on trades (balance) of 99.99% means over sitting.
Couldn't find your signal. On a related note, yes, a high Sharpe Ratio on trades (balance sheet) means 99.99% over sitting.
The Sharpe ratio should be at least 0.1. It shows that in order to earn $1, the trader has outlived the equity drawdown by an average of $10.
The Sharpe Ratio does not operate with cumulative drawdown at all (equity deviation from the previous maximum). This is one of its drawbacks as its formula includes only the standard deviation of daily returnees as a measure of risk. Therefore it is better to use the empirical profit/max drawdown ratio as a measure of strategy performance rather than the Sharpe Ratio, regular or annual.
Profit to max drawdown ratio of 0.1 or annual 0.1, this is extremely low, the profit should be twice the max drawdown of the test to consider the strategy suitable for further consideration, the annualized Sharp ratio is usually close to the profit to max drawdown ratio.
Wrong, the Sharpe ratio does not operate on cumulative drawdown at all (equity deviation from the previous maximum), which is one of its drawbacks, its formula only includes the standard deviation of daily returnees as a measure of risk. Therefore it is better to use the empirical profit/max drawdown ratio as a measure of strategy performance rather than the Sharpe Ratio, regular or annual.
Profit to max drawdown ratio of 0.1 or annual 0.1 is extremely low, it is believed that profit should be twice the max drawdown of the test to make the strategy suitable for further consideration, annualized Sharp ratio is usually close to the profit to max drawdown ratio.
The flaw is not in it. Make a TC with >1 coefficient at least and you'll forget about the flaw.
In my League - most of the TCs in the top 20 - have a Sharpe Ratio approaching 2, or even higher than that. However, this does not prevent them from periodically taking "check shots", and dropping out of the League "for training".
In my League - most of the TCs in the top 20 have sharps close to 2, or even higher than that. However, this does not prevent them from periodically taking "control shots", and dropping out of the League "for training".