sharpe ratio ?

Discussion in 'Automated Trading' started by Eric J, Jan 18, 2009.

  1. Eric J

    Eric J

    I automated a strategy to trade only the NQ . I backtested a few variations of this strategy and some work better than others . Would it be safe to say the strategy with the highest sharpe ratio has the best edge ?
  2. I've always preferred the Sortino ratio to Sharpe as the Sharpe Ratio unfairly (IMHO) penalizes upside (positive) volatility.

    That said, I assess my systems from the equity curve they produce, by running a K Ratio through them. K Ratio gives you an objective measure of how smooth and positive an equity curve is.

  3. The K-Ratio is an excellent tool. I use it for all of my daily and weekly automated trading. However, it is not available for use intraday. That is its only drawback.

    I also like RINA index in dailly trading. But, I have never found the sharpe ratio or Return Retracement Ratio to be of any use in my trading
  4. Eric J

    Eric J

    OK I'll assess its viability with K ratio then . I'm not concerned with intraday , my strategy is for swing trading on longer timeframes .

    Thanks for the advice .
  5. Obviously it depends how you are doing your backtesting or analysis, but K Ratio is nothing more than a mathematical calculation, and therefore can be calculated and applied across any time-frame.

    I do the vast majority of my analysis on 5 minute bars, but it works equally as well on daily intervals
  6. You are correct K ratio can be calculated for any time frame. I was referring to TradeStation who does not show K-ratio or Sharpe Ratio from intaday optimizations.