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Sharpe Ratio and other metrics投票結果
Sharpe Ratio and other metrics討論
Oct 20, 2009 at 02:55
1,794流覽
10 Replies
Oct 27, 2009 at 00:03
You would want to calculate the sharpe ratio off Net asset value growth (not balance growth) accounts with open positions and open positions P&L should have that P&L added to the growth over time. Otherwise the sharpe will become rather useless for systems with open positions.
For instance one of my systems have a (well, relatively) smooth asset growth, but it builds profits in not closed positions and then close them from time to time. so net asset value have a great sharpe. but the balance growth is flat... giant spike up as profits are realized.. flat .. giant spike up.. etc. this yields a worse sharpe ratio than the smooth curve would do.
Anyway - the sharpe calculation stuff would be the same, only the data is bad. So putting a sharpe ratio in right now won't hurt. Remember to post the way it is calculated. sharpe ratios are dependent on the granularity of the samples, and what the total timeframe of the sample is. (i usually adjust to one year, so it's yearly growth / yearly volatility) or some such. long time since i messed with this stuff in my backtester.
For instance one of my systems have a (well, relatively) smooth asset growth, but it builds profits in not closed positions and then close them from time to time. so net asset value have a great sharpe. but the balance growth is flat... giant spike up as profits are realized.. flat .. giant spike up.. etc. this yields a worse sharpe ratio than the smooth curve would do.
Anyway - the sharpe calculation stuff would be the same, only the data is bad. So putting a sharpe ratio in right now won't hurt. Remember to post the way it is calculated. sharpe ratios are dependent on the granularity of the samples, and what the total timeframe of the sample is. (i usually adjust to one year, so it's yearly growth / yearly volatility) or some such. long time since i messed with this stuff in my backtester.
knowledge as well as smarts are needed to make money.
Dec 01, 2009 at 18:17
Dear staff, i know you guys have much coding and tweaking of the new verification system. i've not long lear'nt about the sharpe ratio, but now understand the sheer importance of this equation.
i'd very much like to see the sharpe ratio impliemented, simply because from an institutional point of view this would expose which traders are making adverse risks against their/someone elses profits, although high profits, their recklessly trading. from a investor point of view this is very important as it will help to determine which traders are making healthy calculated risks without too much exposure.
though the performance reports, already account much about the traders activities, the sharpe ratio will clearly identify the "clever,calculated and disiplined trader" from the "reckless trader"
JPM*r**n states that over confidence can often lead to arrogance and vice versa, both of which are hard to quantify, until they trade proprietory , i.e making a $100,000,000 profit with company/client assets, but the single trade exposed $500m of potential losses, it wouldnt be long before you'd get your marching orders, as the sharpe ratio would expose the reckless traders habits of risk, would you hire a trader with a poor sharpe ratio? i'm just hoping mine is healthy lol.
i'd very much like to see the sharpe ratio impliemented, simply because from an institutional point of view this would expose which traders are making adverse risks against their/someone elses profits, although high profits, their recklessly trading. from a investor point of view this is very important as it will help to determine which traders are making healthy calculated risks without too much exposure.
though the performance reports, already account much about the traders activities, the sharpe ratio will clearly identify the "clever,calculated and disiplined trader" from the "reckless trader"
JPM*r**n states that over confidence can often lead to arrogance and vice versa, both of which are hard to quantify, until they trade proprietory , i.e making a $100,000,000 profit with company/client assets, but the single trade exposed $500m of potential losses, it wouldnt be long before you'd get your marching orders, as the sharpe ratio would expose the reckless traders habits of risk, would you hire a trader with a poor sharpe ratio? i'm just hoping mine is healthy lol.
he who dares shall win
forex_trader_3066
會員從Nov 14, 2009開始
2帖子
Dec 29, 2009 at 07:40
pinball posted:
You would want to calculate the sharpe ratio off Net asset value growth (not balance growth) accounts with open positions and open positions P&L should have that P&L added to the growth over time. Otherwise the sharpe will become rather useless for systems with open positions.
For instance one of my systems have a (well, relatively) smooth asset growth, but it builds profits in not closed positions and then close them from time to time. so net asset value have a great sharpe. but the balance growth is flat... giant spike up as profits are realized.. flat .. giant spike up.. etc. this yields a worse sharpe ratio than the smooth curve would do.
Anyway - the sharpe calculation stuff would be the same, only the data is bad. So putting a sharpe ratio in right now won't hurt. Remember to post the way it is calculated. sharpe ratios are dependent on the granularity of the samples, and what the total timeframe of the sample is. (i usually adjust to one year, so it's yearly growth / yearly volatility) or some such. long time since i messed with this stuff in my backtester.
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