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> > Is everybody in agreement that "Sharp Ratio" is a good measurement
> > of a system (you can prove anything with statistics...).
>
> Nope. Only one good measure of any "system" Does it make money!!
No thanks. I have a hundred systems that make money, and I can crank
out another hundred without breaking a sweat. Would I trade them?
Hell no!!
If a system makes money over a certain period, but drags you through
gut-wrenching drawdowns and losses along the way, is NOT a tradeable
system by my standards.
I'm mighty particular about what I'll entrust my money and my stomach
lining to. I want a system that makes money **CONSISTENTLY**. I
want a minimum of drawdowns, and if possible I want it to pump out
profits on a fairly steady and consistent basis.
And the Sharpe ratio is just about the best tool to measure that kind
of behavior.
Gary
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