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Hello Robert,
RL> I was emailed a Sharpe Ratio Signal that caculates the Sharpe Ratio, run
RL> over the same 4 years this was the result.
RL> For TS2000i I was able to turn it into an indicator (same 3.48 result).
RL> StartDate = 980106, Periods = 902, Stand Dev = 43.6%, Anlzd Avg =
RL> 152.0%, Sharpe = 3.48, ND__C__1.TXT,
RL> Someone else told me that for a non optimzed system >2 was already pretty
RL> good.
the more you talk the more i wonder. if you pay more attention to
detail you will see i said profit factor not sharpe ratio.
RL> Anyway, the offer is still open to trade it for one of your systems.
RL> Is everybody in agreement that "Sharp Ratio" is a good measurement of a
RL> system (you can prove anything with statistics...).
no i disagree completely and i disagree with typical backadjusted
contracts and the way most all models are built / tested. give me
the system so i can post its trades real time on the web - then we
will see what it can do as it happens. if it is any good i will trade
you something better for it. if after a year of it making money
brilliantly live on the net - you will be famous and rich i bet.
i honestly think after looking at your string of losses (see the
amounts consistently?) you may have stumbled upon a buggy way of
placing trades in ts - that may give false results. sorry mark
send me the code lets get this over with.
RL> Thanks
RL> Robert
RL> ps. In the mean time I worked out the detail on the "paperwork".
RL> ===============================
RL> Robert Linders
RL> Orlando, FL
RL> email: mugsnug@xxxxxxxxx
RL> ===============================
--
Have a Great Day, Mark
http://www.markbrown.com
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