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Let's focus on the Sharpe ratio. There is never a clear-cut answer
for this, except that you'd obviously prefer a higher ratio.
But be careful, as the Big Man himself pointed out in a specific
article on the Sharpe Ratio:
"Certainly, the use of unadjusted historic (ex post) Sharpe Ratios
as surrogates for unbiased predictions of ex ante ratios is subject
to serious question."
Nevertheless: "Despite such caveats, there is much to recommend a
measure that at least takes into account both risk and expected
return over any alternative that focuses only on the latter."
The point is that a.o. the Sharpe ratio is a relative measure to
compare strategies/performances, and that its acceptance is related
to individual risk tolerances. A 0.27 return compensation for each
unit of risk may be acceptable to you, but not to somebody else.
I suggest you first get acquianted with the concepts before drawing
conclusions. Plenty of textbooks on this one, or go the Sharpe's
website at Stanford:
http://www.stanford.edu/~wfsharpe/
PS
--- In amibroker@xxxxxxxxxxxxxxx, eric paradis
<thechemistrybetweenus@xxxx> wrote:
>
> The User Guide says I need to have a K Ratio of .5
> and a sharpe ratio of 1. My strategy is very long term
> and earns alot, but its K ratio is .09 and my sharpe
> ratio is .27 according to the backtest. Im happy with
> the trades and returns of the system, so what gives?
> Do I ignore my ununsual ratio numbers and keep trading
> it? Anyone have a similar experience?
>
> Thanks
>
> Eric
>
>
>
> __________________________________
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