According to the Sharpe ratio - page 4

[Georgiy Merts]

Sprut112:
Let's see where your 2

Let's keep it on a need-to-know basis.

The TC League thread - hasn't gone anywhere. I repeat - any TS with more than 100% quality - has a Sharpe (comprehensive, average by trades, by day, week and month) above two. But, at the same time - the systems routinely SUCCESSFULly deteriorate in quality.

[[Deleted]]

Georgiy Merts:

Let's keep it on a first-name basis.

The TC League thread - hasn't gone anywhere. I repeat - any TS with more than 100% quality - has a Sharpe (comprehensive, average by trades, by day, by week and by month) above two. But, at the same time - the systems routinely SUCCESSFULly deteriorate in quality.

Just a screenshot of where the Sharp Ratio is

[[Deleted]]

Georgiy Merts:

Let's keep it on a first-name basis.

The TC League thread - hasn't gone anywhere. I repeat - any TS with more than 100% quality - has a Sharpe (comprehensive, average by trades, by day, by week and by month) above two. But, at the same time - the systems routinely SUCCESSFULly deteriorate in quality.

So will you show me a screenshot? You have 500 systems in your league there, and there are more than 2 on the odds

[Maxim Romanov]

Sprut112:
Can you show me a screenshot? You have 500 systems in your league, and there are more than 2 on the odds.

Now I was testing how my self-adaptive robot can tune to a known signal consisting of a mixture of sine waves. But that's not the point, I got a great result and remembered about the Sharpe Ratio and looked what ratio is shown in the tester.

So with a perfect yield chart, the sharpe is 0.82! At the same time the drawdown is $972 and the profit is $406000. It's not even close to 1. But the point is that the test is on a harmonic series and it is impossible for a robot to fail there, but anyway according to the widely known criterion Sharpe must be greater than 1, the strategy looks bad.

Here is the chart with the coefficient of 0.82.

[Renat Akhtyamov]

I have been asking for a long time - put down the kSharp formula with an example of calculation for 1 deal

Let whoever calculates it for whom and how he wants.

But still, let's work together to understand the formula and the meaning of this necessary coefficient

[Maxim Romanov]

Renat Akhtyamov:

I have been asking for a long time - put down the kSharp formula with an example of calculation for 1 deal

Let whoever calculates it for whom and how he wants.

But still, let's work together to understand the formula and the meaning of this necessary coefficient

Probably 1 is the maximum value that would correspond to a perfectly flat graph.

[Aleksey Nikolayev]

Renat Akhtyamov:

I have been asking for a long time - put down the kSharp formula with an example of calculation for 1 deal

Let whoever counts whoever wants.

But still, let's understand the formula and the meaning of this necessary coefficient

How are you going to calculate selective variance for one trade?

[Aleksey Nikolayev]

Maxim Romanov:
Probably 1 is the maximum value that would correspond to a perfectly flat graph.

The maximum is infinity, when all transactions are equal and the sampling variance turns to zero. The denominator of the Sharpe is the RMS (the root of the sample variance)

[Renat Akhtyamov]

Aleksey Nikolayev:

How are you going to count sample variance on a single transaction?

In forex, the standard deviation is determined by the average volatility of a currency pair (the difference between the initial and final quotes).

That is, for a single trade, the Sharpe ratio would be 1, assuming that the return is 100%

[Aleksey Nikolayev]

Renat Akhtyamov:

In forex, the standard deviation is determined by the average volatility of a currency pair.

In MT, the sharpe is not counted for a symbol but for the TS by a sequence of trades. What you are talking about is called "annualized Sharpe" for an asset.