Discussion in 'Automated Trading' started by newbie2006, Sep 28, 2006.
what sharpe ratio do you expect to trade?
i'm fully automated on spot FX via Metatrader 4. trades between 30-50 times per day.
i never thought i'd say it, but fully automated is the ONLY way to go. i've also become a much better discretionary trader since being fully automated because i really don't care if they are winning trades or not as the automated does well enough on its own.
to you as well. what sharpe did you test/do you trade?
I have used Sharpe ratio with success for system optimization, but I don't use it for monitoring systems performance. The single most important metric for me is the equity curve, measured subjectively. Straight upward sloping "line" with only small bumps is very good Of course, I also monitor some measures, such as max. drawdown, avg. profit per trade, etc. If the equity curve looks unconvincing I can either remove the system or allocate smaller % of capital (leveraged) to it. I have not yet much done about optimizing the money allocation between systems, just allocated more % to more promising ones and otherwise.
I don't want to become frustrated, so I don't expect too much. Of course, it would be nice to become rich
i did not intend to be nasty. i was just interested what people
here feel is minimum sharpe for them to go fully automatic. fair
enough if you don't want to disclose it. ...
i'll have to run the statements through some software to get me the values; i don't keep track of it whatsoever. i care most about the curve as said above, along with the PTV drawdowns which have been consistently under 6% since inception (about six months ago).
the thing i care most about honestly is making sure the program does what it was written to do, and everything else will take care of itself from there.
good trading to you.
Sharpe is not exactly the best measure for systems.
Have been for about 2 yrs now.
Interested why you are linking automation with sharpe ratio. Cannot really see the connection.
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