[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: [amibroker] What metrics do you use for comparing systems ?



PureBytes Links

Trading Reference Links

Hi,

Thank you all for sharing your thoughts.
Considering I am a newcomer to trading, it is very interesting to learn from serious traders. Nothing replaces experience.

By the way Colin, might you post the AFL code of your MSR ?

Tia,
Regards,
Evo1


cwest a écrit :
My favorite subject/issue--performance measurement. The most preferred benchmark by which investment and/or trading results are measured is the Sharpe ratio. However, imo there's a valid modification one should make to this measure. The Sharpe ratio assumes the risk-free rate is the interest rate of 90 day Government paper. That's unreasonable as there are plenty of alternatives that aren't classified as junk paper--270 day BBB+ Corporate notes, for example. Even GM short-term paper is still pretty much risk-free!
 
Therefore, a modified Sharpe ratio (MSR) would be: annualized daily average return less the Corporate short-term interest rate, divided by the standard deviation of the annualized daily average return, is 'my' benchmark for investment and/or trading. When calculations are annualized short-term or long-term isn't too relevant.
 
If your trading systems can't exceed 1.5 MSR--the higher the number the better the performance--it's back to the drawing board. fwiw, very few mutual funds exceed 1.0 MSR :). Very good hedge managers obtain 2.0+ MSR.
 
Colin West


Hi,





Please note that this group is for discussion between users only.

To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com

For other support material please check also:
http://www.amibroker.com/support.html





SPONSORED LINKS
Investment management software Real estate investment software Investment property software
Software support Real estate investment analysis software Investment software


YAHOO! GROUPS LINKS