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Here's an example where my sharpe was 0.82. Obviously, the robot won't lose any more and the probability is 100%. Nevertheless the ratio is below 1 and the fact thatSprut112 hasmore than 4 sharpening confirms the low meaningfulness of this ratio. It is clear that any robot can fail in the real market, while it will never fail in the harmonic series if it has shown profit. And so it turns out that the robot with Sharp 4 trading on the real market is more reliable than the robot with 0.82 trading on the harmonic set, which is obviously not true.
Where have you seen harmony in forex, there is rather unmanageable chaos and 0.82 will sell out
We are talking about a specific example. And I used this example to make the point that the ratio has nothing to do with the leverage ratio.
Vladimir Baskakov:
You hover your mouse cursor over this indicator in any signal. A pop-up window with explanations will appear. A ratio of 0.8 means that the score is 8:10 not in your favour
You can also write on the fence...
Don't be lazy and have a look at the calculated examples and their corresponding Sharpe ratios :
https://www.mql5.com/ru/forum/192911
I hope it helps you to understand that the Sharpe Ratio is an indicator of "evenness of line" but not of profitability, and certainly not of reliability.
You can also write on the fence...
Don't be lazy and have a look at the calculated examples and their corresponding Sharpe figures :
https://www.mql5.com/ru/forum/192911
I hope it will help you to understand that the Sharpe Ratio is an indicator of "linearity" but not of profitability, and certainly not of reliability.
Here I absolutely agree, it is an indicator of "evenness", nothing more. So it has the right to life in the analysis, but it should be used wisely and in conjunction with other indicators, without the entrenched assertion that it must be greater than 1.
Do not be lazy and have a look at the calculated examples and their corresponding Sharpe figures :
https://www.mql5.com/ru/forum/192911
I hope it helps you to understand that the Sharpe Ratio is a measure of "linearity" but not of profitability, and certainly not of reliability.
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 of funds is 972$ and 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
Because this figure in this calculation makes little sense, it has already been said many times in different parts of the forum,
It should be like this (www.elitetrader.com/et/threads/sanity-check-on-sharpe-ratio-calculation-please.327030/):