"This is exactly what optimizer does, so PI is good for this purpose. "
Incidently, PI is very close to Van Tharp's SQN (system quality number), which he uses to compare systems. On Sep 23, 5:20 pm, nonlinear5 <[EMAIL PROTECTED]> wrote: > > The above definitions for Sharpe ratio are not quite correct. The Sharpe > > ratio is a measure of excess return over the risk free rate (which is > > usually taken as LIBOR) normalized by the volatility of the trading > > algorithm. Furthermore, the numbers used in the numerator and denominator > > are not absolute values, but percentages. The sharpe ratio adjusts for cost > > because the return is expressed as a percentage and not as an absolute > > number. > > > Sharpe Ratio = (return - risk free rate)/volatility > > return = your return as a percentage > > risk free rate = London Interbank Offering Rate (LIBOR) - the interest rate > > banks charge each other for lending > > volatility = standard deviation of returns, as a percentage > > Right, as I noted above in this thread, PI is not the same as Sharpe's > ratio. However, it measures the same thing, in essence, which is > performance adjusted for risk. While it's not very meaningful by > itself, PI is a good metric to go by when *comparing* multiple > strategies over the same period of time. This is exactly what > optimizer does, so PI is good for this purpose. --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [EMAIL PROTECTED] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
