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Sharpe Ratio
Jan 23, 2018 at 05:42
1,097 Visualizações
3 Replies
Membro Desde Oct 16, 2017
2 postagens
Jan 23, 2018 at 05:42
Just wondering if someone could explain me how the Sharpe ratio is calculated in myfxbook (what an incredible site!).
...starting from this
Sharpe ratio = (Mean portfolio return − Risk-free rate)/Standard deviation of portfolio return
I'm looking at one strategy (long/short combination of different fx pairs)
with win % of 85%
profit factor of 1.42
Average win 35 pips and av loss -197.
SR 0.01
It sounds way too low.
What am I doing wrong?
...starting from this
Sharpe ratio = (Mean portfolio return − Risk-free rate)/Standard deviation of portfolio return
I'm looking at one strategy (long/short combination of different fx pairs)
with win % of 85%
profit factor of 1.42
Average win 35 pips and av loss -197.
SR 0.01
It sounds way too low.
What am I doing wrong?
mattia.percudani@
Membro Desde Jan 03, 2018
150 postagens
Jan 24, 2018 at 06:21
ya too low ,sr mesures how sound is your system, the higher the better
nick123427@
Membro Desde Oct 16, 2017
2 postagens
Jan 24, 2018 at 08:50
the strategy has been doing on a real account about 2.5%monthly for the last 18months...strategy is pretty sound but it looks to me that the calculation is just based on the spread between the TP and STL ...not the percentage of winning trades
mattia.percudani@
Membro Desde Apr 18, 2017
700 postagens
Jan 28, 2018 at 06:48
Percma posted:
the strategy has been doing on a real account about 2.5%monthly for the last 18months...strategy is pretty sound but it looks to me that the calculation is just based on the spread between the TP and STL ...not the percentage of winning trades
2.5% monthly profit means, 18% yearly profit! Such a good yearly percentage!
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