• Registered: 2019-05-01
  • Posts: 9

Topic: sharpe ratio

Dear all

I made an EA with EA studio. The EA profits $3536 and sharpe ratio 0.16 with premium historical data.
I run the same EA with different hitorical data in  the same period. Historical data-1 gave $4713 sharpe ratio 4.14 and Historical data-2 yielded $6364 sharpe ratio 5.60. Why EA studio sharpe ratio is too low?
any comments I appreciate, thank you

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 8,115

Re: sharpe ratio

Sharpe Ratio represents the how big is the profit relatively to the balance and the profit volatility.

Simply said, the Sharpe Ratio will be higher when a strategy makes higher consistent profit.
A reason for low Sharpe ratio is a big variation of the profit and loss size.

Besides the trading rules, the strategy performance greatly depends on the commission, swaps, and spreads.

I would not put too much attention to the stats metrics.
For me the most important criteria evaluating a strategy is to make a profit on new data, no mater if it is on backtest, real or demo trading.

Popov's Website

  • Registered: 2022-09-14
  • Posts: 29

Re: sharpe ratio

That's the key! You'd be impressed by how well that validation Mr. Popov mentions works.

Popov wrote:

Sharpe Ratio represents the how big is the profit relatively to the balance and the profit volatility.

Simply said, the Sharpe Ratio will be higher when a strategy makes higher consistent profit.
A reason for low Sharpe ratio is a big variation of the profit and loss size.

Besides the trading rules, the strategy performance greatly depends on the commission, swaps, and spreads.

I would not put too much attention to the stats metrics.
For me the most important criteria evaluating a strategy is to make a profit on new data, no mater if it is on backtest, real or demo trading.