When you "optimize" yuor system, do you emphasize short term, midterm or long term?

M

mizhael

For example,

if the long term (10year) Sharpe Ratio is 1.00,

mid-term (1year) Sharpe Ratio is 2.50,

short-term (60days) Sharpe Ratio is 0.50,

Will you choose this system?

And of course we can optimize the parameters to reach different combination of the these numbers,

any thoughts?

Thanks!
 
Hmm...I think you are a stupid troll. You can't even put a title on your post without a spelling mistake. You start a thread daily, you get your answers then you start a similar thread and you change your questions slightly. If you are not a random forum bot, then you are a clueless troll.
 
I dunno, Sharpe Ratio is an extremely poor metric of evaluating a trading algorithm. When you optimize your system you should try to optimize it across as much data as you possibly can get, otherwise you are curve-fitting.
 
Quote from dave4532:

Hmm...I think you are a stupid troll. You can't even put a title on your post without a spelling mistake. You start a thread daily, you get your answers then you start a similar thread and you change your questions slightly. If you are not a random forum bot, then you are a clueless troll.
More...

I am extremely stupid okay? Now you are happy? :=-)
 
Quote from showyouwang:

I dunno, Sharpe Ratio is an extremely poor metric of evaluating a trading algorithm. When you optimize your system you should try to optimize it across as much data as you possibly can get, otherwise you are curve-fitting.
More...

But do you emphasize the most recent performance when you backtest using whatever metrics?
 
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