A good trading system

Discussion in 'Trading' started by Jerry030, Feb 18, 2008.

  1. Thanks,

    What's the mathematical correlation between Sharpe ratio and PF ?
     
    #31     Feb 21, 2008
  2. Sharpe Ratio has nothing to do with Profit Factor. SR is based on the volatility.

    SR = Return / Volatility

    It sounds like you mean - "how do I determine the robustness of a trading system"

    Trend Follower David Druz has written articles on such a topic in Stocks and Commodities magazine.

    The short answer is that the more volatile a system is, the more robust it is. That was their conclusion. I have issues with it, but it seems to have worked out for them.
     
    #32     Feb 21, 2008

  3. I would think that the higher PF the higher the SR..
     
    #33     Feb 21, 2008
  4. I wonder what the relationship between a system with high SRs to those with Low SRs in terms of their likelihood of blowing up. It seems that all the big money that disappeared in the trading world was from high SR blow ups. - LTCM for one
     
    #34     Feb 21, 2008
  5. IMO a good trading system is one in which you can close + or flat every day/week and + every month. If you are able to consistently pay yourself you are beating the odds and 90% of all other traders out there.
     
    #35     Feb 21, 2008
  6. #36     Feb 21, 2008