Sharpe Ratio

Discussion in 'Strategy Development' started by psytrade, Jun 19, 2005.

  1. Hi,

    I have a bunch of EOD systems I'm testing and working on. I get Sharpe Ratio's in the area of .30 - .40. I've heard some traders say look for a system with 1 or 2 Sharpe Ratio before going live.

    Is this correct for EOD systems, or only correct for intraday systems?

  2. squeeze


    Wouldn't worry too much about the sharp ratio of the individual systems.

    When you combine them all together you should end up with a sharp ratio in the 1.5 - 2 region.