Sorry for that errant post. I'm going to run SPS vs. Sortino vs. Sharpe using some random performance curves....so we can see the differences.
I don't know what you mean by IR. But let's assume it's a typo and you meant SR = Sharpe ratio. SPS[+10, +10, +10, +10] = infinity SPS[+10, +30, +30, +10] = infinity SR[+10, +10, +10, +10] = infinity SR[+10, +30, +30, +10] = 2 Oops!! How's that for a demonstration of the Sharpe ratio significantly failing to rank a holy grail system in a meaningful sense?
The SPS is just the expectation value per risked dollar. Certainly a relevant statistic but hardly anything new.
No, that's the plain expected return. If you divide that by the risk L you get the expected return per risk, which is what you call SPS.
No, L is loss, not risk. Risk is what you determine before you trade. Loss is what happens after you trade.
Quit the stupid name-calling guys. Loss = Risk when trading in liquid instruments....especially intraday. Loss > Risk when trading instruments that exhibit a lot of slippage....or when trading interday.
OK ... I've shown the Sharpe ratio to be a crock. So when do we see this comparison between SPS and the Sortino ratio? [Edited by Magna: at OP's request this thread is Closed]