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martin115

Joined Dec 15, 2012

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Systems by martin115

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Annualized Sharpe Ratio Calculation - according to timeframe

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...

3136

Jan 22, 2013 at 12:52

myfxbook needs to become a signal provider

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 do...

2124

Jan 11, 2013 at 21:37

Annualized Sharpe Ratio Calculation - according to timeframe

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,...

3136

Dec 27, 2012 at 15:47

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