According to the Sharpe ratio - page 5
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In MT, the sharpe is not counted for a symbol but for the TS by a sequence of trades. What you are talking about is called "annualized Sharpe" for an asset.
I'm talking about forex
And I'm talking about the Sharpe Ratio in Metatrader. It is based on specific trades of a specific TS on a specific timeframe, not in the abstract "for forex".
And I'm talking about the Sharpe Ratio in Metatrader. It is calculated based on specific trades of a specific TS on a specific timeframe, not in the abstract "for forex".
OK
the "physical" meaning of the coefficient please
i.e. - what does the Sharpe Ratio of 1 mean?
ok
about the "physical" meaning of the coefficient please clarify
i.e. - what does a sharpa coefficient of 1 mean ?
Read the relevant article and my explanations, please.
ok
about the "physical meaning" of the coefficient please clarify
i.e. - what does a Sharpe Ratio of 1 mean ?
This is a quick and crude (because simple and universal) estimate of the statistical significance of TC profit positivity. It works by virtue of the Chebyshev inequality.
In terms of this inequality, a Sharpe ratio of 1 is nothing) If it is equal to two, then the probability of profit positivity is 75%.
If there is any additional information about the profit distribution of the TS, the estimate can be improved (at the cost of loss of simplicity and versatility)Read the relevant article and my explanations, please.
Yes, I have read it.
Thank you!
This is a quick and crude (because simple and universal) estimate of the statistical significance of the profit positivity of TC. It works by virtue of the Chebyshev inequality.
From the point of view of this inequality, the Sharpe Ratio of 1 is nothing) If it is equal to two, then the probability of profit positivity is 75%.
If there is some additional information about the profit distribution of the TS, then the estimate can be improved (at the cost of losing simplicity and versatility)That is, it turns out that the Sharpe ratio is a statistical indicator.
At the same time when the Sharpe ratio is greater than 3, we have practically 100% of profitability, i.e. when substituting 3*sigma into the formula
Is this true?
And since we have to divide the percentage by the percentage, isn't it easier to divide the percentage of winning trades by the percentage of losing trades?
That is, the physics is that you do not need to invest in trading 100% of a deposit equal to 1000 cu and still get a profit equal to 100%, even a yearly average, in fact you can invest 10% of a deposit equal to 10000 cu and get 10% - it is the same in essence. But the Sharpe Ratio for these cases will be different, right?
In other words, it turns out that the Sharpe Ratio is a stochastic indicator.
Moreover, when the Sharpe Ratio is larger than 3, we have practically a 100% profitable system, i.e. when substituting 3*sigma into the formula
Is it true?
It's true, though normality of TC profit distribution is implicitly supposed, and the sampled mean and variance are exactly equal to the expected payoff and variance.
If normality is rejected, Chebyshev's inequality gives less (about 90%), but this estimation is universal.
And since we have to divide the percentages by the percentages, isn't it easier to divide the percentage of winning trades by the percentage of losing trades?
Profits in trades can be very different from each other. This is not a problem for sharps.
I.e. the physics is that you do not need to invest 100% of your deposit equal to 1000 cu and still get a profit equal to 100%, even if it is an average year, in fact you can invest 10% of your deposit equal to 10000 cu and get 10% - it is one and the same thing by its nature. However, the Sharpe Ratio for these cases will be different, right?
The Sharpe Ratio will be infinity if all trades have the same profit - this is only possible if they correspond to a sequence of deposits at the same interest. I would say that the physical meaning of Sharpe is the proximity to a constant interest deposit - the bigger it is, the closer it is.
In your example, the Sharpe would be the same because you get a multiplication of a random variable by a constant. The mean and RMS will be multiplied by the same number, which will be reduced by being in the numerator and denominator.