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Forex Forum → Technical Matters → Increase Sharpe ratio resolution in acceptance criterias

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Posts: 12

1 (edited by geektrader 2018-03-26 00:37:30)

Topic: Increase Sharpe ratio resolution in acceptance criterias

Hi Mr. Popov,

could you please increase the "resolution" of the sharp ratio in the accept criterias, so that we can set 0.15, 0.28, etc., instead of only 0.1, 0.2, 0.3? The Sharpe ratio values in the 0.1 to 0.3 area can make a HUGE difference on the strategy quality (for example 0.15 vs. 0.28), so a finer resolution for setting this acceptance criteria would be most welcome and should be easy to change?

Thanks so much smile

P.S.: The same wish does apply to FSB Pro too ;-)

Re: Increase Sharpe ratio resolution in acceptance criterias

Actually -- a change between 0.2 and 0.3 makes little difference -- just my opinion.  However, more importantly, the control uses a Windows NumericUpDown control.  So, now, if I want to increase the value from 0.2 to 0.3 I click once. But if Popov increases the resolution 10-fold then I have to click 10-times more -- and that would be a pain.  I'm much more likely to adjust the Sharpe ratio from 0.2 to 0.5 (3 clicks) than I am from 0.21 to 0.49 (28 clicks).  In general, I think simple is good and tend to resist added complexity without seeing evidence to support it, especially when you consider the current implementation of Sharpe ratio works well.

3 (edited by geektrader 2018-03-26 19:28:18)

Re: Increase Sharpe ratio resolution in acceptance criterias

For my strategies, a Sharpe ratio of 0.14 and 0.18 (just an example) makes a huge difference in the way I filter. Why click, you can just enter the number on your keyboard and be done, without 28 or even 3 clicks LOL :-) I´d think that sacrificing the resolution of the Sharpe ratio just because someone is too lazy to click or to simply enter the number via the keyboard, is a bit contra-productive for a serious trading application, no? ;-) I mean, Popov could remove many things then so that we don´t have to "click" so often, LOL. Hilarious ;-)

4 (edited by sleytus 2018-03-26 21:26:16)

Re: Increase Sharpe ratio resolution in acceptance criterias

True -- I could simply enter a value.  But then, again, so could you -- and it wouldn't require Popov spending time making changes and testing it.  As you know, programming takes time -- and I'd prefer Popov spend as much time as possible implementing new and interesting features that benefit everyone, rather than customizing the software to suit one person.  The point wasn't about clicking -- the point was taking time away from him by requesting an inconsequential change to the UI that would affect everyone else simply to suit one person's preference.

Are you really suggesting because it doesn't support Sharpe ratios to 2 decimal places it's not a serious trading application?  Do you have any Live trading results or evidence that shows a marked difference between 0.14 and 0.18?  Seriously -- four one/hundredths makes a difference in a Live account?

You are right about one thing -- I am lazy, but I consider that a virtue and work very hard at it.

5 (edited by geektrader 2018-03-27 01:59:01)

Re: Increase Sharpe ratio resolution in acceptance criterias

sleytus wrote:

True -- I could simply enter a value.  But then, again, so could you

You don´t seem to actually even have tested it because it won´t accept a value like 0.14, because it only accepts 0.1, 0.2, 0.3, even if entering (not clicking) 0.14 (as an example). That is in Settings -> Acceptance Criteria. Just try it before writing replies? LOL, I won´t mind if, when clicking it, it goes 0.1 -> 0.2 -> 0.3, so that you can stay lazy (by the way, ever heard of the trick that you can simply HOLD the left mouse button and it will scroll up? So you do not need to click 28 times, LOOOL), but I would like to be able to at least manually enter 0.14, which does not work right now.

Funnily, The filter on the actual strategy collection actually accepts values like 0.14 - so that´s an ambivalent behavior of the app in one place versus another place and should be fixed anyway (and most likely was not intended to act like this).
For Popov to change the decimal places to 2 under Settings -> Acceptance Criteria should take about 1 minute at the most, especially since it already is correctly implemented for the extra filter in the Collection section.

P.S.: I don´t need to prove anything to you how and why I need a Sharpe ratio of 0.14 instead of 0.2. Everyone has their way to build strategies and if you do not need it, just don´t use it - others might need it though. Thank you :-)

6 (edited by sleytus 2018-03-27 03:58:14)

Re: Increase Sharpe ratio resolution in acceptance criterias

I don't think the behavior is ambivalent.  Back testing results will commonly report Sharpe ratios to two decimal places because those are computed values.

The UI control you are referring to under the Acceptance Criteria is called Minimum Sharpe ratio -- which implies strategies whose Sharpe ratio is below that minimum will fail the check.  In no way does that imply the resulting, computed value also has to be one decimal place.  The reason you can filter to two decimal places is because you are filtering computed values.

Re: Increase Sharpe ratio resolution in acceptance criterias

Sorry, I don´t know what you are talking about. I want to set a MINIMUM Sharpe ratio of 0.14 (example) in Settings -> Acceptance Criteria, but there one can only enter 0.1, 0.2, 0.3, etc. In the filter section within the Collection, the MINIMUM Sharpe ratio can be set to 0.14 just fine. It should also be settable to 0.14 in Settings -> Acceptance Criteria too, as that is an ambivalent behavior. The Sharpe ratio is a COMPUTED value in both cases, LOL.

Best to let Popov join the discussion, I seriously have no interest to discuss it with you as you seem to completely miss the point. Thanks ;-)

8 (edited by sleytus 2018-03-27 10:02:05)

Re: Increase Sharpe ratio resolution in acceptance criterias

I suspect Popov has better things to do than play referee...

The MINIMUM value you set in the Acceptance Criteria is not computed -- you enter it, right?

The filter you mention is used to filter (i.e. sort) strategies in a Collection based on their statistics -- those statistics were computed by the back testing engine, right?

It's been awhile since I've had statistics, but there is a rule about how many significant digits are valid.  I mean, why just use 2?  Why not 5 or 17?  The number of significant digits implies accuracy.  For example, if you Google the time to drive from LA to NY it says 41 hours.  It doesn't say 41.372891 hours.  That's because if you were to make the drive 100 times it wouldn't come out 41.372891 hours each time, which is why the value is rounded to the nearest hour.  The number of significant digits that are statistically valid is related to how reproducible a measurement is.

When it comes to Sharpe ratio we all know very small changes in the data horizon can effect significant changes in the ratio -- hence, to think that using a MINIMUM of 0.18 versus 0.14 in the Acceptance Criteria will result in significantly better strategies is misleading.  It's just not that accurate, especially when you take into account how optimization works.  A difference of 0.5 to 0.2 -- sure, but not 4 one-hundredths.  I'm not making this up -- it's basic statistics.

If you don't believe me -- check out the Monte Carlo feature.  Do you see how minor perturbations can effect large changes in the equity curve?  The statistics of those equity curves can be quite different and their Sharpe ratios for sure differ by more than 4 one-hundredths.

Perhaps you misunderstand the purpose of Acceptance Criteria versus filtering -- or perhaps I do, I don't know.  Acceptance Criteria are used to determine which strategies make it into the collection in the first place.  Filtering is used to sort strategies that are members of the Collection (i.e. have already passed all Acceptance Criteria) and for whom their back testing statistics have been computed.  Acceptance Criteria and collection filtering are two different concepts.

Re: Increase Sharpe ratio resolution in acceptance criterias

I think the current implementation works well for most of the traders.

Sharper Ratio is calculated with full precision. The Acceptance Criteria and Collection filtering allows you to set values with step of 0.1. There is no point to increase the precision because there are no obvious benefits from that.

If you want to accepts stats with fractional values, please round the limits downwards. The biggest trade off will be to have several strategies more at the bottom of the Collection. however, once the strategies count reaches 100, it will not matter anymore because the Collection algorithm will start pruning out the  starts with the lowest stats.

10 (edited by geektrader 2018-03-29 19:23:10)

Re: Increase Sharpe ratio resolution in acceptance criterias

Hi Mr. Popov,

the only problem I had with this was that you can enter fractional values like 0.14 (and they are important for shorter term strategies the way I generate them, even if you don´t think it is important at all, I guarantee you that it is for me and it indeed makes a huge difference here) on the Sharpe ratio filter in the "Collection" tab, but not within the "Settings -> Acceptance Criteria", where one can only enter values like 0.1 or 0.2. Is it really such a huge problem to allow fractional values? I mean your program calculates the Sharpe ratio to 2 decimal values, why not let users enter it like that then too? Especially since this is a code change that takes barely a few minutes as I know from my own Javascript coding.


@sleytus: sorry, can´t read you, you are on my ignore list since the previous post, no time to waste on my end here with your lengthy discussions about trivial topics :-) Thanks for your understanding.

Re: Increase Sharpe ratio resolution in acceptance criterias

Geektrader wrote:

@sleytus: sorry, can´t read you, you are on my ignore list since the previous post, no time to waste on my end here with your lengthy discussions about trivial topics :-) Thanks for your understanding.

I understand.

12 (edited by geektrader 2018-04-01 23:14:23)

Re: Increase Sharpe ratio resolution in acceptance criterias

Hi Mr. Popov,

thanks for adding this change to EA Studio, it works fine now in Settings -> Acceptance Criteria to enter values like "0.14", etc., much appreciated!

Happy Easter :-)

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