Sharpe Ratio

P

psytrade

Hi,

I have a bunch of EOD systems I'm testing and working on. I get Sharpe Ratio's in the area of .30 - .40. I've heard some traders say look for a system with 1 or 2 Sharpe Ratio before going live.

Is this correct for EOD systems, or only correct for intraday systems?

Thanks
 
Wouldn't worry too much about the sharp ratio of the individual systems.

When you combine them all together you should end up with a sharp ratio in the 1.5 - 2 region.
 
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