Sharpe Ratio

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

  1. psytrade

    psytrade

    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?

    Thanks
     
    #1     Jun 19, 2005
    Share
  2. squeeze

    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.
     
    #2     Jun 19, 2005
    Share