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Yes on Sharpe Ratio, BUT is it enough?



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Hello Bob and Omegalist,

I shoot for a high Sharpe Ratio.  But here is a case where we have a
3.78 Sharpe Ratio and yet if you look at the equity curve, you will
notice how the curve goes flat around the 450th trade for around 50
trades and at several other times.


The system starts out with trading 5000 shares of QQQ, the signals
are based on the NDX.  I DO NOT trade this
system for several reasons.  So please feel free to comment.  It
went long 8100 shares on 1/3/02 at the beginning of the 1st bar of
the day.

So my question, while the Sharpe ratio, gives us a very good
indication of the performance, is there more to it than just this
ratio?  Here you have a system that has historically gone flat.


Net Profit           $1,320,275.43
Open Position            $9,740.25
Gross Profit         $2,396,897.28
Interest Earned         $28,900.35
Gross Loss          ($1,076,621.84)
Commission Paid         $38,535.72
Percent profitable           55.69%
Profit factor                 2.23
Ratio avg. win/avg. loss      1.77
Adjusted profit factor        2.00
Annual Rate of Return        70.36%
Sharpe Ratio                  3.78  <<<<<<<--------------
Return on Initial Capital  1320.28%
Return Retracement Ratio    166.75
Return on Max. Drawdown    2040.28%
K-Ratio                       3.28
Buy/Hold return              92.75%
RINA Index                  682.12
Cumulative return          1221.70%
Percent in the market        44.03%
Adjusted Net Profit  $1,134,670.15
Select Net Profit      $925,167.25
Adjusted Gross Profit $2,273,450.79
Select Gross Profit   $2,001,789.09
Adjusted Gross Loss   ($1,138,780.63)
Select Gross Loss     ($1,076,621.84)
Return on account          2361.21%

Number of total trades          677
Average trade           $1,950.19
Avg. trade ± 1 STDEV            $9,743.48/($5,843.11)
1 Std. Deviation (STDEV)        $7,793.29
Coefficient of variation        399.62%
                                                                
Run-up                                                          
Maximum Run-up          $53,623.35
Max. Run-up Date        12/20/00 2:30:00 PM
Average Run-up          $7,240.39
Avg. trade ± 1 STDEV     $15,750.37/$0.00
1 Std. Deviation (STDEV)  $8,509.98
Coefficient of variation  117.53%
                                                                
Drawdown                                                                
Maximum Drawdown                ($19,018.79)
Max. Drawdown Date              1/3/01 12:30:00 PM
Average Drawdown                ($3,080.52)
Avg. trade ± 1 STDEV            $0.00/($6,382.74)
1 Std. Deviation (STDEV)        $3,302.22
Coefficient of variation        107.20%
                                                                
Reward/Risk Ratios                                                              
Net Prft/Largest Loss           80.16
Net Prft/Max Drawdown           69.42           
Adj Net Prft/Largest Loss               68.89
Adj Net Prft/Max Drawdown               59.66           
                                                                
Outlier Trades          Total Trades    Profit/Loss                                  
Positive outliers               12      $395,108.19                                  
Negative outliers               0       $0.00                                   
Total outliers                  12      $395,108.19

   ***Trading period ***
Years                      4.99
Months                     59.88
Weeks                      259.47
Days                       1,821.25
Time in the market                      801
Percent in the market                   44.03%
Longest flat period                     10.81
Avg. time in trades                     1.18
Avg. time between trades                1.50
Avg. time in winning trades             1.49
Avg. time between winning trades        3.31
Avg. time in losing trades              0.79
Avg. time between losing trades         5.28
Avg. time between peaks (days)         16.49
  

-- 
Best regards,
 Ernie                          mailto:ebonugli@xxxxxxxx

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