Topic: Sharpe Ratio

Hi Everyone

Does anybody ever measure their strategy performance based on the Sharpe Ratio (Can view in Overview when Aditional Statistics enabled)
Cos as far as I now that is a very accurate way to determine the true fitness level of any investment.
So if you do, and would like to make a positive contribution to all, I would like to suggest that you post your strategy here once you find one that has a better Sharpe Ratio than the highest before. I will start off with a strategy with s SR of 0.1 as a baseline, once you beat that please post your strategy.
Oh, and for comparitive purposes I would suggest we use EURUSD 15 Minutes.

Thanks and good luck !!

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Re: Sharpe Ratio

Ok, FSB generated 2.81
Any one can beat  it. lol

http://s2.postimage.org/RG5NJ.jpg

Re: Sharpe Ratio

Hi

Nice job, a few comments though.
Be careful not to overoptimize and remember to enable the OOS.
It would also probably be better if your data horizen is bigger, say at least 6 months.
I've had Sharpe ratio's of well over 4, but probably because of the above mentioned pitfalls.

If you can include your equity / balance graph is might be useful, cos one can normally immediately see if the strategy confirms to be "low risk". IMO, the more trades it executed the better, and a winning % of anything between 55% and 75% would then be fantastic. Higher than that usually sacrifices the number of trades as the generator will add more filters which will make the strategy not suitable to other time periods. Anyway, good luck !

Re: Sharpe Ratio

Indeed Alam,
Data horizon >5y, w/l 0.40-0.75 , draw down <13% , sharpe ratio >0.20 !! The strategy should make test in different periods e.g 2002-2005 , 2008-2010!
Lets try 2 find it!
Cu soon...
/Love

Re: Sharpe Ratio

I missed... Also quite hi frequncy traded!
Cheers
Love

Re: Sharpe Ratio

Love:

Spot on, if one can find something that confirms with those stats, one would definitely have a potential winner. The only thing I don't neccesarily agree is the horizen. I am 99.9% convinced that there is no way one can find a system that would stood the test of time over 2 years, reason being simply that peoples' bevaviour changes slightly over the years (but even the slightest change can ruin a strategy) depending mostly on the economic environment, new tools (technologies) becoming available, brokers constantly adapting to ensure they cannot lose, big players (hedge funds, huge corporations) constantly finding ways to manipulate the system to improve profits, governments superficially value / devalue their currencies for various money making agendas, the succesful traders get smarter and the losers get dumber and more greedy. All that being said, no single strategy would ever succeed unless you have an adaptive one or one that includes / activates others depending on the long term "detected" market conditions. Hence I think 3 to 6 months should be fine, even if things change (which is normally a slow process) the strategy should not immediately fail. One can have a rule to say as soon as the profit % falls below a certain value, one should tweak again for the new conditions / patterns.

By the way, I have made a list of monthly return on investment percentages and would like to know from the members which percentages they deem doable and if anyone has managed to find proven strategies in each percentile that adheres to the "non overoptimized" recommendations (that they are willing to share with some of the members)

See my next post...

Re: Sharpe Ratio

1%
Good enough (would cover the interest in most countries should the money be borrowed from a bank and definately seems doable.

2%
Moderate, but anyway more than what any bank would give you in interest should you give them your money which they might probably use to invest in the stock market.

3%
Good, seems to be a nice target many professional stock market traders aim for. I think Warren Buffet managed to pull off 30% to 40% annual ROI over many many years consequtively and for those that did not know, he is considered the best investor of all time (I might be wrong, just something I heard that stuck in my mind)

4% - 10%
Seems possible if you willing to start taking substantial risks. I've heard "amateurs" claiming of ways to achieve this return, but I am yet to find prove that it is possible with any kind of automated system generated and optimized, cos the people that claim these are normally not willing to "share their secrets" or they have only managed to do so with demo accounts over short periods of time.

10% to 20%
Seems to be the average of the "professional" okes with 10 to 30 years experience that trade for a living. None that I know of use automated systems, for they know that fundamentals and news play too big role for any "indicators" to consistantly work. Therefore they have to be on the ball almost 24/5 and merely use indicators for timing and confirmation of trades predetermined by intense knowledge of the markets.

20% to 30%
Have not actually heard about anyone achieving this, but I have my suspicions that some of the best of the best professionals out there (perhaps with some additional edge like inside info from the people that release economic stats before they get released to the public) might be able to pull those numbers off.

>30%
Is a scam. Period.
Anyone claiming that will never share their strategy for that would be proof that they are selling lies and are only there to take your money. If you come across someone / some company / some anybody claiming those numbers (not even to mentions those that claim above 100%) usually are selling something (EA, Signal Service, Managed Account) with lots of fine print. Then when you wake up realising your account is blown, they will tell you that you've been warned or you will simply not get hold of them ever again.

And that is my opinion, please feel free to disagree if your experience have proved different, but please don't disagree because you "think" you know better or heard from some guy in a bar some theory which neither he or anyone else has proven.

Hope to get some responses from you guys.
Once again, good luck.
Someone once said: "Money flows from the impatient to the patient" therefore I believe there HAS TO be a way to take the money from the greedy traders that's constantly out to make a quick buck without any effort or understanding as to what they are doing) 

Cheers for now
Alem (with an "e")

Re: Sharpe Ratio

Guys, I was not serious :-P,
Just wanted to bring some interest to the topic as it is quit important how we evaluate our trading strategies.
I might even create a sticky on this subject. Around backtesting and Evaluation live trading strategies, what parameters people use etc.
What would you say?
Probably we can use this topic to discuss this subject? Are you willing to participate?

This dude claming 54% , haha. http://www.trade-council.com/history-performance.php/



Alem Bert wrote:

Hi

Nice job, a few comments though.
Be careful not to overoptimize and remember to enable the OOS.
It would also probably be better if your data horizen is bigger, say at least 6 months.
I've had Sharpe ratio's of well over 4, but probably because of the above mentioned pitfalls.

If you can include your equity / balance graph is might be useful, cos one can normally immediately see if the strategy confirms to be "low risk". IMO, the more trades it executed the better, and a winning % of anything between 55% and 75% would then be fantastic. Higher than that usually sacrifices the number of trades as the generator will add more filters which will make the strategy not suitable to other time periods. Anyway, good luck !

Re: Sharpe Ratio

fxwinner,
I don't mean to be rude, but this thread is not about how to evaluate / generate a strategy.
This thread is about examples of strategies with good Sharpe ratio's and ROI targets. From time to time I might give some additional info to mostly things I experience while trading live or research I have done about successful people trading live, but once again the info will be / must be related to risk / reward ratio's. If you have something to contribute regarding the latter, please do so for I have read all of your posts and often value your opinion. I also read a thread on ForexFactory with more than 14000 responses, and things quickly get out of hand and quite chaotic once you start to mix too many topics (that is why "threads" were introduced... to keep some order and to give members the opportunity to read / contribute towards a specific topic, cos man, there is way too much information and a person should probably focus on one thing at a time, unless very relevant of course, but then a link to that topic would be appropriate)
I suggest you create your sticky or a new thread about "backtesting and Evaluation live trading strategies"... It would definitely be a good idea, especially to new members or those with limited trading experience.

Thanks :-)

Re: Sharpe Ratio

Dear Alem Bert,
Your constructed disapproval has been noted, I misinterpreted your intentions, the off-topic comments have been moved to a new location in order to resolve any further confusions.

http://forexsb.com/forum/post/6130/#p6130


I welcome you all to participate to the new topic.
Looking forward to see you all there...

Re: Sharpe Ratio

forexwinner,
Thanx for understanding and your efforts to make this a successful forum, will contribute to your new thread if I feel my experience can add something constructive.
Cu there, but please continue following this tread if risk / reward ratio's is something that interest you.

Re: Sharpe Ratio

if risk / reward ratio's is something that interest you

Ha, this is one of the main things which interesting me as a live auto-trader.
I am going to contribute as much as I can.
CU.
FW.

Re: Sharpe Ratio

Sweet.
Looking forward to it, as a start, maybe you can give your opinion on the percentages I mentioned  in the beginning of this post, for they are merely my experience and you probably have more general knowledge than me. Also, I think it is of cardinal importance for new traders to "know what they can expect" for almost everyone fails the first couple of years due to too high expectations, lack of managing emotions and the famous fear vs greed syndrome. Like I know, 1% is very doable, and worthwhile compared to other investments if you can make your strategy automated, yet I myself aim for much higher, which used to bite me in the past by not understanding what is "good", when it becomes too risky, and when to quit your day job without being an idiot.

Re: Sharpe Ratio

I would like to make use of Sharpe.... however,  being new to the software, I am not too sure how to access the numbers.


I clicked additional statistics in testing and see a couple additional lines in the Balance/equity chart...... I would like someone to tell me where to find the Sharpe Ratio result.

Thanks so much

daveM

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Sharpe Ratio

Blaiserboy wrote:

I would like someone to tell me where to find the Sharpe Ratio result.


Open the strategy Overview - the "Overview"  button and scroll downwards. You'll see a table named "Additional Statistics".  The Sharpe ratio is the last parameter in the table.

Re: Sharpe Ratio

Thanks for that...

I want to be able to produce some good results and apparently it is well worth while to use this measurement

Thanks again.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Sharpe Ratio

Sharpe Ratio

There is some good information in the thread as to the values that are desirable.....

Is it possible someone can list some ways to improve the numbers, what do we look for  to modify to allow the numbers to improve.

I would appreciate your experience and insights.

Thanks


daveM

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Sharpe Ratio

Assistance requested.

I will like to do two things with this strategy, the first being to improve the Sharpe ratio and the second being to increase the number of trades.

Does someone have some ideas as to how to do both.

I really appreciate your assistance.....

I am going to post another set of results from a different strategy..this one has some nice numbers as far as Sharpe Ratio, however a very small number of trades........ naturally I want to increase the number of trades and retain the good ratio.

Again. I would really appreciate some help in this area.....  and I am sure that it will help many other users as time passes.

Thanks

Post's attachments

daveM - SNAG-00035.png 60.51 kb, 2 downloads since 2010-09-09 

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My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Sharpe Ratio

This strategy has some nice numbers at the bottom, and I think it is almost to a usable state, however, I would like to see a greater number of trades....

Hopefully you will be able to see what I require to improve the numbers.

Post's attachments

daveM - SNAG-00036.png 82.61 kb, 1 downloads since 2010-09-09 

You don't have the permssions to download the attachments of this post.
My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Sharpe Ratio

I was wondering if someone has ideas as to what is required to improve the ratios...... ie, perhaps someone has a lot of experience and has developed some techniques

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

21 (edited by therealdrag0 2011-02-03 04:55:56)

Re: Sharpe Ratio

Update: I was thinking the lower number is better... I'll be back and post a high one someday tongue