Thank you for sharing the additional information on the ranges and thresholds, especially what is realistic and not pie in the sky. While I do use backtesting, I have the system actively trade in a paper trading account that uses production Live Paper trading management rules to know how it would really perform by taking trades in the current market environment to eliminate the cherry picking. There is always a reason that you see the guru selling their system has data from 2020 and 2021 but not the current running environment. It is great that it performed that well then, but HOW is it performing now in the last month in these most recent current market conditions? Very few want to show the details of that. Thanks for your insight on all of this. I have some of the data for the Sharpe ratio, but I need to get a few more data points in order to derive it. Have a good day, MAC
Sharpe ratio of 2+ was easier before when interest was 2%. Now that interest rate is 5%, it would be much harder. Having said that, backtest result often don't translate into reality. Do a forward test.
%% NO wonder\ too many markets can get way past 50%= sharpe was designed for long only stock funds measure ; + have to figure in electric bill bid\ask + or REALTORs comission. Some turtle$ made some much with low %/ i would look for some other stuff also. .22 long rifle . 38-.357makes a good can opener/ even though not designed for that; 30-06/180 grain is overkill for cans LOLSame with 777 pellets in 12 gauge shotgun
Personally, I think the Sortino Ratio is stupid. T or MAR is just subjective nonsense. Return minus a nonsensical subjective value divided by downside volatility that is also sensitive to this subjective value doesn't tell you anything. More so though, positive volatility needs to be scaled also like in the sharpe. Otherwise, when comparing streams of returns there will be a huge bias towards streams with large winners. At that point, why even bother with Sortino Ratio and just go with the biggest R. Not scaling the upside volatility because everyone obviously wants big winning trades misses the point entirely.