Share Annualized Sharpe Ratio Calculation - according to timeframe Votes Results
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Annualized Sharpe Ratio Calculation - according to timeframe Discussion
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Member Since Mar 17, 2011 11 posts
J.Barauskas (barauskasjustin)
Jul 24 2011 at 14:51
the current sharpe ratio is not of much use since its not very usefull for comparisons.. which is the whole idea of the ratio
it needs to be annualized so that returns can be compared accross different strategies easier i.e. daily timeframe you need to adjust (sharpe ratio) x sqrt(250) minute timeframe need to adjust (sharpe ratio) x sqrt(250*11*60) and so on.. then we should see numbers between 1-2> if the strategies are good i.e. "Every System Profitable, One only doesn't know the conditions that it is profitable in" |
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Member Since Apr 15, 2011 117 posts
Mike (Male)
Jul 25 2011 at 21:43
(edited Jul 25 2011 at 21:51 )
I think the Sharp is not OK. With profitable strategies that have a lot of losing position, will never be high, despite the very good or excellent also gain.
Only your proposal is such that when my current Sharp 0.18 for 1 minute timeframe after conversion will come out ~ 73! I'm lazy. |
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Member Since Mar 17, 2011 11 posts
J.Barauskas (barauskasjustin)
Aug 10 2011 at 20:03
yes i see, im not sure though if i got the annualisation right for the minute timeframe, need to check it
"Every System Profitable, One only doesn't know the conditions that it is profitable in" |
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