Allan It sounds to me like your analysis of the issue is spot on. This is why the sharpe ratio, although very useful, is only one measure of the utility of a system.
chuck ----- Original Message ----- From: "matrix10014" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Thursday, September 07, 2006 9:34 PM Subject: [amibroker] Minimising Sharpe ratio >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 > > > > > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For other support material please check also: > http://www.amibroker.com/support.html > > > Yahoo! Groups Links > > > > > > > > > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> Your email settings: Individual Email | Traditional <*> To change settings online go to: http://groups.yahoo.com/group/amibroker/join (Yahoo! ID required) <*> To change settings via email: mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
