System Performance Score

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Sorry for that errant post.
I'm going to run SPS vs. Sortino vs. Sharpe using some random performance curves....so we can see the differences.
 
Quote from gip3:

First, I'm not sure what 'common sense' has to do with it. Common sense doesn't really tell me whether the second system is twice as good, or 100x as good.

Now, you are talking about performance comparison given risk aversion (which the sharpe and the classic kelly assume to be risk neutral). Given that risk aversion is subjective and varies individual to individual, I don't believe you've made any contributions there.

Finally, as you now want to do 'how much better' than just 'is it better', are you really saying that a system that does 600 trades is EXACTLY 1.2x better than one that does 500 trades? There's nothing to base this 1.2x being the right factor at all.

Anyway, you've yet to demonstrate how your SPS would rank systems significantly better than IR in any meaningful sense.
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I don't know what you mean by IR.

But let's assume it's a typo and you meant SR = Sharpe ratio.

SPS[+10, +10, +10, +10] = infinity
SPS[+10, +30, +30, +10] = infinity

SR[+10, +10, +10, +10] = infinity
SR[+10, +30, +30, +10] = 2

Oops!!

How's that for a demonstration of the Sharpe ratio significantly failing to rank a holy grail system in a meaningful sense?
 
Quote from kut2k2:
Here is the final version of the System Performance Score (SPS). The previous versions suffered from too much focus on the NOBF , which it turns out is entirely unnecessary.

SPS = (p*(W/L) - q)*min[1, N/1000] ,
where
p is the winrate,
W is the average winning trade return (%),
L is the average losing trade return (%),
q is 1-p,
N is the number of trades in the backtest.
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The SPS is just the expectation value per risked dollar. Certainly a relevant statistic but hardly anything new.
 
Quote from RonRayGun:

The SPS is just the expectation value per risked dollar. Certainly a relevant statistic but hardly anything new.
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No the expectation per risked dollar is

p*W - q*L.

The SPS is different.
 
Quote from kut2k2:

No the expectation per risked dollar is

p*W - q*L.

The SPS is different.
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No, that's the plain expected return. If you divide that by the risk L you get the expected return per risk, which is what you call SPS.
 
Quote from RonRayGun:

No, that's the plain expected return. If you divide that by the risk L you get the expected return per risk, which is what you call SPS.
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No, L is loss, not risk. Risk is what you determine before you trade. Loss is what happens after you trade.
 
Quote from kut2k2:

No L is loss, not risk. Risk is what you determine before you trade. Loss is what happens after you trade.
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Wow, you are seriously dense man.
 
Quit the stupid name-calling guys.

Loss = Risk when trading in liquid instruments....especially intraday.

Loss > Risk when trading instruments that exhibit a lot of slippage....or when trading interday.
 
Quote from syswizard:


I'm going to run SPS vs. Sortino vs. Sharpe using some random performance curves....so we can see the differences.
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OK ... I've shown the Sharpe ratio to be a crock.

So when do we see this comparison between SPS and the Sortino ratio?


[Edited by Magna: at OP's request this thread is Closed]
 
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