Sharpe Ratio

[ElectricSavant]

Have you noticed that many Forex trading EA's have Sharpe Ratio's under 1.00.

What does that tell you?

ES

P.S. When I speculate I have always expected a minimum of a 25% return after costs and labor...but what volatility do I need to go through to achieve that also matters.

 

[globalarbtrader]

Have you noticed that many Forex trading EA's have Sharpe Ratio's under 1.00.

What does that tell you?

ES

P.S. When I speculate I have always expected a minimum of a 25% return after costs and labor...but what volatility do I need to go through to achieve that also matters.

That, contrary to my expectations, they're not ludicrously overfitted and/or liars.

GAT

 

[Millionaire]

Have you noticed that many Forex trading EA's have Sharpe Ratio's under 1.00.

Do you have any example links?

I would be surprised to see any short term Forex EA with Sharpe greater than 0.00 in real world trading (ie after taking into account costs and slippage)

 

[pipeguy]

Have you noticed that many Forex trading EA's have Sharpe Ratio's under 1.00.

What does that tell you?

ES

P.S. When I speculate I have always expected a minimum of a 25% return after costs and labor...but what volatility do I need to go through to achieve that also matters.

Volatility has not cared well at all. Actually it's a weakness of all EA's because they're not quite accommodative, one volatility spike can spoil the system. Its where EA should turn to speculative mode but it continue to trade in conservative fashion (based on old volatility settings, when it was created and tested)

 

[ElectricSavant]

Most EA'S in the mt4 signals tab

Do you have any example links?

I would be surprised to see any short term Forex EA with Sharpe greater than 0.00 in real world trading (ie after taking into account costs and slippage)

 

[Millionaire]

Most EA'S in the mt4 signals tab

I don't have MT4, are the Sharpe ratios based on back testing or forward testing only, or a combination of both?

 

[ElectricSavant]

Both