Sharpe ratio signal - page 2
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Study the formula. The calculation is the same, the risk free rate is different. There is no point in sharpe ratio on the website, tester etc. Your risk free rate might be different from mine.
Because the risk free rate change over time, there is no such thing as "should be this or that value".
In the a.m. article MQ wrote:
Risk-free return
The concept of risk-free return is conditional, since there is always a risk. Since the Sharpe ratio is used for comparing different strategies/portfolios in the same time intervals, the zero risk-free return can be used on the formula. That is,
So no change it is just 0 here.
Study the formula. The calculation is the same, the risk free rate is different. There is no point in sharpe ratio on the website, tester etc. Your risk free rate might be different from mine.
Because the risk free rate change over time, there is no such thing as "should be this or that value".
Sorry, but I don't understand what you mean. No matter how many times I turn the formula, there is bound to be a time when the sharpe ratio can be greater than 1. If I say I'm looking for a sign with a ratio greater than 2 is because it is recommended to use systems with a ratio greater than 2.In the a.m. article MQ wrote:
So no change it is just 0 here.
Yes, in the article is zero. Is it zero used for signals, or tester? I doubt it. Whatever the case, unless the risk free rate used is disclosed, there is no way to compare the shape ratio from different sources.
Yesterday evening I took the script amended it so that it reads the trading history of a signal and calculates the Sharp Ratio - but based on single trades and not a set timespan like month, year, ...
I took a signal with these figures:
Expected Payoff: 54.58 USD,
Profit Factor: 3.27,
Monthly growth:28.80%,
Annual Forecast:349.40%)
=> but a sharp ratio of: Sharpe Ratio: 0.27
and got this as Sharp Ratio:
Avg of Profit/Vol: 23.9115
StdDev: 88.985
Sharpe_annual(Prof/vol): 8.48
Shart Ration of (Close-Open)/Open:
Avg of Cl-Op/Op: 14.5605
StdDev: 79.645
Sharpe_annual(Cl-Op/Op): 5.77
Here you can find my script and the explanation: https://www.mql5.com/en/forum/392431#comment_42650592
In the tester, the Sharpe ratio is calculated based on increments over time, as described in the article https://www.mql5.com/en/articles/9171
And in the signals there is the old algorithm of calculation based on increments in transactions remained. Therefore they are different.
In the tester, the Sharpe ratio is calculated based on increments over time, as described in the article https://www.mql5.com/en/articles/9171
And in the signals there is the old algorithm of calculation based on increments in transactions remained. Therefore they are different.
But how can a quite successful signal (Annual Forecast:349.40%) have a Sharp ratio of 0.27 which mean:
How good would the values have to be for a signal to have a sharp ratio of >1?
But how can a quite successful signal (Annual Forecast:349.40%) have a Sharp ratio of 0.27 which mean:
How good would the values have to be for a signal to have a sharp ratio of >1?
There is no such thing as a Sharpe is good if it is value X or Y.
Also note that sharpe does not take into account floating loss. So a strategy letting losers run will have a higher ratio vs a strategy with controlled risk.
There is no such thing as a Sharpe is good if it is value X or Y.
Also note that sharpe does not take into account floating loss. So a strategy letting losers run will have a higher ratio vs a strategy with controlled risk.
That is not what I mean. If you look at my example from above 4 performance figures (describing the signal) are very positive only the Sharp ration should be interpreted as " The risk does not pay off."
Form my view point this does not fit together and therefore I asked how good the a.m. figures have to be so that the Sharp ration gains a value >1.
Of course different things are measured but they are related.
Not sure what is not to understand.
The Sharpe ratio indicates how well an equity investment performs in comparison to the rate of return on a risk-free investment
So, the value is relative. There is no such thing as above 1 or 10. One can consider a value of 0.2 as better then 0.1. That is all.
And like i wrote, a sharpe ratio can look better if no trades are closed with a loss, till the margin call comes off course.
To evaluate a strategy sharpe alone is useless.
Many of you say it and I agree with you, it is not the sharpe ratio that will do all the analysis.
I've seen values that seem odd compared to normal. I want to understand where these numbers below 1 come from...
I wish to be able to better interpret this sharpe ratio which is different.