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Príspevky od
martin115
Annualized Sharpe Ratio Calculation - according to timeframe
v
Box s návrhmi
Jan 22, 2013 at 12:52
Okay, after further looking at it, the SR calculation on myfxbook seems to be a simple mean of net profit of all analyzed positions divided the standard deviation of those net profits.This is NOT hos SR should be calculated. It needs to have a time component to it. As I said my previous post, the easiest way to do it would be if they took calculated the mean of daily profits and divided them by their standard deviations. Daily profits are already calculated and displayed on the Profit chart. This would calculate the correct DAILY Sharpe ratio. Would be lovely if this was fixed.
myfxbook needs to become a signal provider
v
Box s návrhmi
Jan 11, 2013 at 21:37
This is definitely a great idea. I realize it is not a trivial task for myfxbook developers but they surely know how to get any job done and I would love to see that implemented.Personally, I see a lot of consistently profitable strategies on myfxbook which seem to work in intra-high frequency domain. If this could be successfully implemented, it would fill a hole in signal provider market.
Annualized Sharpe Ratio Calculation - according to timeframe
v
Box s návrhmi
Dec 27, 2012 at 15:47
The main problem with SR on myfxbook is that the formula that used is not clear. To me at least.Seems like a daily SR, but in that case I do not understand the way the 'standard deviation' is calculated.Other problem, and this seems to be a zero divide or other formula implementation problem, is, that with many strategies the value displayed is 0.00 even though there is a normal profit curve displayed. And there is no real reason I can think of for that.I have no problem with having only daily SR displayed as the number of trading days in a year may differ, and anyone can do simple mul...
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