I have optimised a relatively system and come up with some very
unusual looking Sharpe ratios...
The worst Sharpe ratio I came up with was -544,232,951.43 ..That is
not a typo...I do believe there may be an explaination for it as the
sytstem lost 8.59%,but each of the 5 trades lost exactly 2%.I am
guessing that since each trade lost exactly the same amount,the
standard deviation of returns was close to zero making the
denominator of the Sharpe ratio apx zero and producing a massive
negative Sharpe...
Before I "torture" tech support,would someone have any thoughts on
this??
Thanks,
Allan
Max. trade drawdown -2652.40
Max. trade % drawdown -3.30 %
Max. system drawdown -8591.81
Max. system % drawdown -8.59 %
Recovery Factor -1.00
CAR/MaxDD -1.74
RAR/MaxDD -46.31
Profit Factor 0.00
Payoff Ratio N/A
Standard Error 960.73
Risk-Reward Ratio -12.49
Ulcer Index 4.05
Ulcer Performance Index -5.04
Sharpe Ratio of trades -544232951.43
K-Ratio -0.1686
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