Sharpe ratio options Votes Results
Aimez-vous cette suggestion ?

Sharpe ratio options Discussion
Évaluation: Empty Star Empty Star Empty Star Empty Star Empty Star

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

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.
Veuillez vous connecter pour pouvoir commenter.
MNB Interest Rate Decision (20 min)
What triggered the USD bulls? – BBH(2 min ago)
EURUSD 1.06999 GBPUSD 1.48869
USDJPY 119.344 USDCAD 1.22227
Outils Communauté Commentaires Plateforme Société Assistance
Calendrier économique Communauté Courtier Widgets A Propos Questions fréquentes
Forex Market Systèmes Expert Advisors Caractéristiques Blog Aide
Forex Volatility Most Popular Systems Fournisseurs de signaux API Twitter Contactez-nous
Forex Correlation Stratégies VPS Services Portable Facebook Signalez-nous une erreur.
Spreads des Brokers Forex Concours EA Programming Traductions    
Forex Broker Quotes Forex Charts PAMM Brokers RSS    
Forex Broker Swaps Communauté Outlook Rebate Programs      
Nouvelles en continu Forex   Trading Platforms      
Forex Broker Volume          
COT Data          
Forex Calculators          
Forex Heat Map New          

Download Myfxbook Android App
Plan du site  |   Termes et conditions  |   Politique de confidentialité
©2014 Myfxbook Ltd. All Rights Reserved.
HIGH RISK WARNING: Foreign exchange trading carries a high level of risk that may not be suitable for all investors. Leverage creates additional risk and loss exposure. Before you decide to trade foreign exchange, carefully consider your investment objectives, experience level, and risk tolerance. You could lose some or all of your initial investment; do not invest money that you cannot afford to lose. Educate yourself on the risks associated with foreign exchange trading, and seek advice from an independent financial or tax advisor if you have any questions. Any data and information is provided 'as is' solely for informational purposes, and is not intended for trading purposes or advice.