B bigmrfrank Sep 11, 2007 #21 Quote from rcanfiel: These cannot be answered. Everyone has their own parameters. It is like asking "what flavor of ice cream do you like?" You are going to get 30+ answers. More... Exactly. One of my systems has 4 losers/1 winner but is extremely profitable as the winners are, on average, 11 times larger than the losers. That's on full auto. If I deploy it using discretionary measure it's 2/1.
Quote from rcanfiel: These cannot be answered. Everyone has their own parameters. It is like asking "what flavor of ice cream do you like?" You are going to get 30+ answers. More... Exactly. One of my systems has 4 losers/1 winner but is extremely profitable as the winners are, on average, 11 times larger than the losers. That's on full auto. If I deploy it using discretionary measure it's 2/1.
K Kevin Schmit Sep 11, 2007 #22 Quote from rickty: Do you have a reference for the formulas you provide above. I'd like to look into this a bit more. More... I have attached the most accessible pdf covering these formulas. I have no idea what the ET limit on pdf attachments is, so PM me if you want more papers on the subject. FWIW, I don't think any single ratio can fully characterize risk vs. reward for a given model/system or trader. Attachments magdon_max_drawdow_slide_show.pdf magdon_max_drawdow_slide_show.pdf 124.5 KB · Views: 247
Quote from rickty: Do you have a reference for the formulas you provide above. I'd like to look into this a bit more. More... I have attached the most accessible pdf covering these formulas. I have no idea what the ET limit on pdf attachments is, so PM me if you want more papers on the subject. FWIW, I don't think any single ratio can fully characterize risk vs. reward for a given model/system or trader.
K Kevin Schmit Sep 11, 2007 #23 Quote from CPTrader: Iâm curious as to what system performance statistics ... More... Here is an interesting paper on the subject. Found on the World Beta blog. Attachments sharpening_the_sharpe_ratio.pdf sharpening_the_sharpe_ratio.pdf 398.6 KB · Views: 311
Quote from CPTrader: Iâm curious as to what system performance statistics ... More... Here is an interesting paper on the subject. Found on the World Beta blog.
