agree with your spirit. disagree with you on the current issue. the point is that whenever you start real intensive research you need to focus on one main output figure. in my case i have one strategy that consists of several single strategies and we choose at any point fo time automatically which one to trade in which parameterisation. now in order to do so we need a single figure by which we rank. you might have some additional figures like minimum of trades, but these are merely secondary variables. now using sharpe or figures alike for that purpose serves quite well. profit factor fails. period.
does that make pf wrong or meaningless as a secondary thing to look at? surely not. each and every additional aspect is great, welcome, "good" if you will. but this is not the discussion we are having here.
i have the feeling that many people with not too much experience are not aware of these circumstances and follow these sometimes a little weird and bashing discussions, left with the believe "finally they all are right ... somehow". but this is not the case i am afraid. some simply know more than others. (and while i personally claim that i know more about the current subject than some others within this thread i am completely aware about my minor position regarding others on the board. over the years i think people will realise that for example the kind participation acrary showed will never happen again. a pro opening up like that with no other interest for getting something back than a feeling of community ... once in a lifetime.)
why am i so insistant on this whole thing and not shut up? the initial problem of each journey is the target. if your target is vague ... the outcome will be. same in trading. what is your utility function? which figure is it that you want to maximise? i dare to say that almost every trader will finally maximise their sharpe. they might use five other different figures and may not even know sharpe as such, but they maximise their sharpe. why? well return can be easily changed by leverage. draw down? same thing? profit factor (i skip that ... reread the thread ) ...
sharpe does not change with leverage (actually it does a little due to some weakness of the concept, yet i find it bearable and the advantages offset the dis by far.).
usually what single system traders finally use very often is the judgement by looking at the equity curve. is this a strong concept, actually stronger than sharpe as a single figure? no doubt. our internal pattern recognition engine is telling way more than any set of figures. but, as someone pointed out earlier, when it comes to many many tests, you need some figures to use as filter before ... or, to be mor precise, o n e figure ...
This discussion was never about the best single metric to use... and the debate about PF began when you ignorantly proclaimed it flawed. You continued to demonstrate your witlessness by claiming that PF as a metric somehow degrades as trade frequency increases, by being clueless of how PF and Sharpe can diverge, and by relentlessly digging yourself a deeper hole here. Are you as resolute about not admitting you're wrong when a trade's not working out?
) ...
