Machine learning in trading: theory, models, practice and algo-trading - page 1143
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Look, Wikipedia is no substitute for WO, Wikipedia doesn't take into account the whole gamut of what happens in practice, that equity lengths\PnL can be any length, and Wikipedia implies that you only measure over a year and no other way where a clear number of daily returnees.
Read http://economic-definition.com/Other_branches_of_mathematics/Koefficient_Sharpa_Sharpe_Ratio__eto.html for example.
In fact, anyone who has done a lab at least once, should know about rationing SR
The point this user is making can be seen in the video here at 4 min 30 sec - https://ru.coursera.org/lecture/portfelnyye-investitsii/vidieo-6-schitaiem-koeffitsiient-sharpa-v-eksielie-WjPm0
It's good that you know how to use the search. https://smart-lab.ru/blog/267416.php
Was just sitting there looking at forex, impressed by the posts above. Particularly about the Sharpe Ratio over 3.
Yes, of course it is possible to create HFT strategy and I showed its profitability somewhere in one of the threads...
BUT
As soon as the spread appears, everything goes to hell.
On the other hand, when you reduce the number of trades, it also turns out a good strategy, but again, BUT...
Oh, these Forex trend slippage, i.e. those players who opened correctly are killed by Sharpe ratio again...
I don't even know how one can get such a high coefficient...
And in general on the subject of the connection between HFT and the Sharpe index I found this old article http://www.long-short.pro/post/rajiv-sethi-risk-i-voznagrazhdenie-v-vysokochastotnoy-torgovle-73
Out of more than 30,000 accounts, according to the article, only 31 fit this description. But these traders dominate the market, picking up 47% of all trading volume and appearing on one or both trading sides in nearly 75% of the contracts sold/bought. And they do so with minimal directional action: the average daily portfolio is only 2% of trade volume, and the overnight portfolio of the average HFT trader is always zero.
...
HFT traders get above average returns to the fraction of risk they take on themselves. This is true in general and for every type of trader. In general, the average Sharpe ratio for HFTs, recalculated for the year, is 9.2. For subcategories: aggressive HFT traders (8.46) show the lowest risk-adjusted returns, while passive HFT traders do slightly better (8.56) and mixed firms achieve the best results (10.46). The spread is large, with an interquartile latitude of 2.23 to 13.89 for all HFT traders. Nevertheless, even the bottom return/risk for HFTs is seven times higher than the Sharpe ratio for the S&P 500 (0.31).
resample - as an obvious way to falsify the algorithm SR
I think it's time to change the algorithm quickly before anyone notices))))
IMHO - what is more good for the portfolio may be less good for an individual TS. Usually the TS has clearly defined moments of "deal closing", by which the Sharpe is calculated. The portfolios and assets do not have such distinct moments, so they can be chosen arbitrarily and not to suffer from this arbitrariness.
You can see what this user is pointing at in the video here at 4 min 30 sec - https://ru.coursera.org/lecture/portfelnyye-investitsii/vidieo-6-schitaiem-koeffitsiient-sharpa-v-eksielie-WjPm0
So pantural is right, you need to multiply the ratio of profit to standard deviation by the root of the number of days in a year
https://www.quantstart.com/articles/Sharpe-Ratio-for-Algorithmic-Trading-Performance-Measurement
https://www.quora.com/How-should-a-Sharpe-ratio-be-calculated
https://quant.stackexchange.com/questions/9476/how-do-i-calculate-sharpe-ratio-from-pl
So pantural is right, you need to multiply the ratio of profit to standard deviation by the root of the number of days in a year
https://www.quantstart.com/articles/Sharpe-Ratio-for-Algorithmic-Trading-Performance-Measurement
https://www.quora.com/How-should-a-Sharpe-ratio-be-calculated
https://quant.stackexchange.com/questions/9476/how-do-i-calculate-sharpe-ratio-from-pl
What you are talking about is more accurately called "Annualised Sharpe" and "Sharpe Ratio" counts exactly as it does now in MT.
For strategy performance measurement, as an industry standard, "Sharpe Ratio" is usually quoted as "annualised Sharpe" which is calculated based on the trading period for which the returns are measured.
IMHO - what is more good for the portfolio may be less good for an individual TS. Usually the TS has clearly defined moments of "deal closing", by which the Sharpe is calculated. Portfolios and assets do not have such distinct moments, so they can be chosen arbitrarily and not to suffer from this arbitrariness.
What portfolio are you calculating there? At speculative market prices? It is necessary for once to take care to analyze the statements of issuers and compare the ratio of net assets to the number of shares (book value) with the market - speculative value. When calculating all sorts of ratios nobody, for some reason, takes into account the book value of the stock, and after all this is the basis for calculating risks - if a speculative price is traded near the book value - there is potential for growth. If it is overvalued - such shares should be discounted, but again, we look at the dynamics of reporting - if the issuer earns from ordinary activities, not from financial ones, the hell with it, such a share can be held for a while. It is necessary to take the balance price and find it on the chart of a trading instrument - put there a horizontal line and decide on the potential for growth / decline of speculative prices of the stock based on these volatilities. You are digging through garbage (in the history of speculative quotes, and even adjusted for you by your broker) and want to make a grail out of "g". Six months ago Maxim said that all this is a fudge - an advisor to educate on history. They agreed that these very expectations for growth or decline can only be predicted by a fundamental analysis of the sensitivity of trading instruments to certain indicators. Half a year has passed, and they are still pouring water about some forests and predictors, but the faces change, and the cart is still there - upside down in the river by the bank around the corner, with the wheels swapped out... there. I am disappointed.
A good EA has only one indicator: it has earned or lost. If it does neither, then it is a bad EA. If you open the chart, you see complete rubbish, and this is what you want to teach your EA? I want to come over here and use police batons to disperse all of you.)
I think it would be nice to have a head for any EA. Optimization is never redundant.
What you are referring to is more accurately called an "Annualised Sharpe" and the "Sharpe Ratio" is exactly as it is now in MT.
For strategy performance measurement, as an industry standard, "Sharpe Ratio" is usually quoted as "annualised Sharpe" which is calculated based on the trading period for which the returns are measured.
I would not say "exactly like that", the formula itself is correct, but it should be calculated not by returns from trades, but by daily (hourly, etc.) returns. Otherwise if this number is calculated with help of trades and their significantly different amount, it is not important, for example one strategy has 0,01 Sharpe and the other has 5, it is not clear, which one is better or worse, only its sign (higher or lower than zero Sharpe) is important.)
So although pantural isn't exactly talking about classic Sharpe Ratio but still he raised an important question about it. But I personally don't prefer using the Sharpe Ratio, I prefer the ratio of profit to the maximal drawdown, as a measure of strategy performance.