According to the Sharpe ratio - page 7

[[Deleted]]

Maxim Romanov:

Here's an example where my sharpe was 0.82. Obviously, the robot won't lose any more and the probability is 100%. Nevertheless the ratio is below 1 and the fact thatSprut112 hasmore than 4 sharpening confirms the low meaningfulness of this ratio. It is clear that any robot can fail in the real market, while it will never fail in the harmonic series if it has shown profit. And so it turns out that the robot with Sharp 4 trading on the real market is more reliable than the robot with 0.82 trading on the harmonic set, which is obviously not true.

Where have you seen harmony in forex, it's more likely to be chaos with 0.82.

[Maxim Romanov]

Vladimir Baskakov:
Where have you seen harmony in forex, there is rather unmanageable chaos and 0.82 will sell out

I am talking about a specific example. And I used this example to show my point of view that this indicator has nothing to do with reliability.

[[Deleted]]

Maxim Romanov:
We are talking about a specific example. And I used this example to make the point that the ratio has nothing to do with the leverage ratio.

You hover your mouse cursor over this indicator in any signal. A pop-up window with explanations will appear. A ratio of 0.8 means that the score is 8:10 not in your favour

[[Deleted]]

Vladimir Baskakov:

You hover your mouse cursor over this indicator in any signal. A pop-up window with explanations will appear. A ratio of 0.8 means that the score is 8:10 not in your favour

You can also write on the fence...

Don't be lazy and have a look at the calculated examples and their corresponding Sharpe ratios :

https://www.mql5.com/ru/forum/192911

I hope it helps you to understand that the Sharpe Ratio is an indicator of "evenness of line" but not of profitability, and certainly not of reliability.

[Maxim Romanov]

Олег avtomat:

You can also write on the fence...

Don't be lazy and have a look at the calculated examples and their corresponding Sharpe figures :

https://www.mql5.com/ru/forum/192911

I hope it will help you to understand that the Sharpe Ratio is an indicator of "linearity" but not of profitability, and certainly not of reliability.

Here I absolutely agree, it is an indicator of "evenness", nothing more. So it has the right to life in the analysis, but it should be used wisely and in conjunction with other indicators, without the entrenched assertion that it must be greater than 1.

[[Deleted]]

Олег avtomat:н You can also write on the fence...

Do not be lazy and have a look at the calculated examples and their corresponding Sharpe figures :

https://www.mql5.com/ru/forum/192911

I hope it helps you to understand that the Sharpe Ratio is a measure of "linearity" but not of profitability, and certainly not of reliability.

Mql5 developers give such explanations for this indicator. I have no reason to doubt their professionalism. And if they explain and give an example, that's the way it is. With 6:10 any TS is doomed and there is no need to get a calculator. You can take a bite and run away at any odds, but that's not what we're talking about.

[Грааль]

Maxim Romanov:

Now I was testing how my self-adaptive robot can tune to a known signal consisting of a mixture of sine waves. But that's not the point, I got a great result and remembered about the Sharpe Ratio and looked what ratio is shown in the tester.

So with a perfect yield chart, the sharpe is 0.82! At the same time the drawdown of funds is 972$ and profit is 406000$. It's not even close to 1. But the point is that the test is on a harmonic series and it is impossible for a robot to fail there, but anyway according to the widely known criterion Sharpe must be greater than 1, the strategy looks bad.

Here is the chart with the coefficient of 0.82

Because this figure in this calculation makes little sense, it has already been said many times in different parts of the forum,

It should be like this (www.elitetrader.com/et/threads/sanity-check-on-sharpe-ratio-calculation-please.327030/):