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Instead of Sharpe Ratio, I would take the Sortino and or Omega one. MAR Ratio is a good measure as well. Basically, every measure, which emphasizes the risk of your strategy, is a good one, in my point of view. I would also take into account trading analysis such as Profit Factor. I hope...

Hi, I just read an article about CTA trend following calibration suggestoins. In the article a cross over moving average with 20 50 and 200 days was suggested. http://www.content4reprint.com/finance/investing/using-cta-trend-following-systems-to-find-global-macro-trading-opportunities.htm...

Hi guys, I am new in this forum and I am wondering why I haven't found this webpage earlier. I had some modules with respect to price momentum and the excessive volatility in the market. So I was wondering, if any of you guys have some experience with a momentum strategy incorporating...