Sharpe ratio options Votes Results
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Sharpe ratio options Discussion
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Voffi

Membre depuis May 30, 2010  64 messages Voffi (Voffi) Jan 26 2012 at 20:12 (édité à Jan 26 2012 at 20:14 )
It would be absolutely fantastic if one had some options with how the sharpe ratio is calculated.

since myfxbook calculates the sharpe ratio as the annualized average daily rate of return, which in my opinion suits the intraday trader and discriminates against longer term traders.

an idea on how the sharpe ratio could be displayed on ones myfxbook page, could be as simple as

for daily (D) Sharpe ratio:
for weekly (W) Sharpe ratio:
for monthly (M) Sharpe ratio:

So people viewing myfxbook pages would know at which rate the ratio is being calculated at.

for instance, on http://www.myfxbook.com/members/Voffi/icetrade/209044

currently my sharpe ratio is 0.16 which is calculated at daily rate of return. Whilst I tend to hold positions for a few days, and if possible longer, and do not take trades daily sometimes a few days to weeks apart, I feel the ratio does not reflect correctly on my strategy.

while if calculated at a weekly rate my sharpe ratio on said system would be 0.93 and if it were based on the monthly rate it would be 5.70


Main point being that not all strategies should be put under the same hat. Different strategies have different strengths and weaknesses. Some are intraday, some hold positions a few days, and some for weeks or longer.


Best regards, Stefan.

A person is only limited by the thoughts he chooses.
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