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M,
note his last line of conclusion is simply
able to go to sleep without worry if sharpe is 5+ ...
so he is not inferring that less than 5 is bad,
just that he will loose sleep :)
Lawrence
--- "M. Simms" <prosys@xxxxxxxxxxxxxxxx> wrote:
> Ernie, based on your "5 or better " logic, about 99% of the hedgefund
> managers and CTAs would be driving cabs today.
>
>
> > -----Original Message-----
> > From: Ernie Bonugli [mailto:ebonugli@xxxxxxxx]
> > Sent: Sunday, January 06, 2002 10:32 AM
> > To: omega-list@xxxxxxxxxx
> > Subject: Re[2]: Yes on Sharpe Ratio, BUT is it enough?
> >
> >
> > The main point I was trying to answer was whether there is more to a
> > successful system than just the Sharpe Ratio. I posed the question by
> > presenting the result of a system which I developed which shows a
> > relatively "good" Sharpe number and yet we can see that the system
> > goes flat at certain times in its history. I do not use this system.
> >
> > My personal conclusion is that while Sharpe gives us a very good
> > indicator for the "goodness" of the system, it is not all telling. Or
> > if it is all telling then a system with a ratio of 4 or less is not
> > all that good. If the Sharpe ratio is the best measure of "goodness" then
> > the system only becomes worthy of being put into production is it exhibits
> > well over a value of 4. My current best effort is ~4.5. So a Sharpe of 5
> > or better would allow me to sleep at nite knowing my funds are
> > well invested.
> >
> > So should the scale be read as follows:
> >
> > < 2 - start on another idea, discard this one
> > 2-3 - maybe or "shows potential", if the idea is its primitive
> > form, ie no tweaking.
> > 4-5 - ok, may be production worthy, but keep an eye I on it,
> > 5-10 - good, you can rest now!
> >
> > This scale probably shows my bias and state of affairs.
> >
> >
> > --
> > Best regards,
> > Ernie mailto:ebonugli@xxxxxxxx
> >
>
>
=====
Lawrence Chan http://www.tickquest.com
Transform market data into opportunities
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