The ratio is excellent >1.
Going through the top ten robot signals, I couldn't find anything even close. The reliability range is 0.03 to 0.3. I am not impressed. It seems that it's not the ratio, it shows something wrong, and the robot trades in the wrong way. If you find more than 1, send it to me.
- Sharpe ratio signal
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Sprut112:
A perfect score is >1.
Sharpe is not the most reliable indicator. The flatter the balance line, the higher the sharpe. But if balance grows exponentially for example or something else non-linear, Sharpe drops dramatically. So even without much of a dip, a good account is likely to have a Sharpe of less than 1. Moreover, as far as I understand, it's calculated by equity, and equity can't be flat if one doesn't know the future.
A perfect score is >1.
Going through the top ten robot signals, I couldn't find anything even close. The reliability range is 0.03 to 0.3. Not very impressive.
Maxim Romanov:
Sharpe is not the most reliable indicator. The flatter the balance line, the higher the sharpening. But if the balance grows exponentially, for example, or otherwise non-linearly, then the sharpening drops dramatically. Therefore, even without much of a dip, a good score is likely to have a Sharpe of less than 1. Moreover, as far as I understood it is calculated based on equity, while equity cannot be flat if one does not know the future.
Maybe, but when the best signals have 0.03, it's not very good.
Sharpe is not the most reliable indicator. The flatter the balance line, the higher the sharpening. But if the balance grows exponentially, for example, or otherwise non-linearly, then the sharpening drops dramatically. Therefore, even without much of a dip, a good score is likely to have a Sharpe of less than 1. Moreover, as far as I understood it is calculated based on equity, while equity cannot be flat if one does not know the future.
I managed to pull my account up to 1 at the most, even though it was holding 0.99-1 (though it was showing 4 hundred at the time), until one of the losing positions was blocked. Now it is a little over 0.5.
Konstantin Nikitin:
I managed to pull my account up to 1 at the most, even though it was holding 0.99-1 (though it was showing 4 hundred at the time), until one of the losing positions was blocked. Now it is a bit over 0.5.
What about the other indicators?
I managed to pull my account up to 1 at the most, even though it was holding 0.99-1 (though it was showing 4 hundred at the time), until one of the losing positions was blocked. Now it is a bit over 0.5.
Sprut112:
And how are the other indicators?
And how are the other indicators?
Well, it's kind of like talking about sharpe...
Vladimir Baskakov:
You have the Van Tharp coefficient there
You have the Van Tharp coefficient there
TC asked about other ratios. And the Van Tharp coefficient is a "different" indicator, not the Sharpe coefficient ))
Renat Akhtyamov:
Thank you Igor!
You're welcome!
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