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Sharpe ratio and Skew

Discussion in 'Strategy Building' started by minmike, Feb 16, 2007.

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Quote from NoWorries:

I use the Sharpe ratio and calculate a 95% confidence interval around it (using the bootstrap method). I closely watch the lower bound of this interval (I never trade a system if the lower 95% bound is less than zero). Sometimes I calculate a rolling Sharpe ratio, i.e. if I have 250 returns, I take r1-r50, calculate Sharpe, then take r2-r51, calculate Sharpe and plot the results in a graph, together with the confidence intervals. If the graph looks stable then I'm quite satisfied.

I might try that Omega measure in the future.
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Thanks for pointing out those articles - this might save me the trouble of what I'm trying to do in the other thread. This stuff is so confusing

#11 Feb 20, 2007

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