Sharpe ratio vs. return/drawdown ratio?

FlyingSoros · Jun 20, 2010

Quote from drcha:

With all respect, you need to lose some money. Only when you have done that will you know what the right rules for you are.
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Dude, I am losing serious money...

FlyingSoros · Jun 20, 2010

Quote from bwolinsky:

Absolute return to drawdown is meaningless, as a previous poster said for the right reasons.

Examing the Calmar ratio of APR to max dd is much more useful, generally try to target 2, 1's fine if max dd is not excessive, and 4+ is a holy grail.

Sharpe ratios are really only relevant with at least two years of data, and you need to watch which risk free rate your simulation program is examining to come up with that statistic. 2 is excellent, 1 is still good over long periods of time.
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Thanks! So you optimize w.r.t. Calmar ratio or Sharpe Ratio or Sortino Ratio?

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Sharpe ratio vs. return/drawdown ratio?

FlyingSoros

FlyingSoros