Hi Eugene, I have read some history of emails back in 2010(?) btw you and other guys about Sharpe ratio etc. And I believe you rather made the choice to keep your PI instead. But still you mentionned that Sharpe ratio is close to PI. How would one correctly still calculate Sharpe ratio of JBT strategy should we want to do so? or convert PI to Sharpe ratio ? Sorry if my questions don't make eventually much sense. But Sharpe ratio is very common to be used for strategy evaluation :-)
Cheers On Thursday, 7 March 2013 04:31:19 UTC+9, Eugene Kononov wrote: > > >> I suppose, with the numbers you are referring to the values achieved on >> the training set? >> Or do you include test data (data not seen in optimization). >> >> > Yes, I am referring to PI numbers against the training set. How to > accomplish the same performance against the out-of-sample data is another > conversation. I was just giving guidance on the PI numbers. PI is closely > related to Sharpe's ratio and the SQN (System Quality Number): > http://www.traderivar.com/2010/03/sqn-trading-system-quality-number.html > > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader?hl=en. For more options, visit https://groups.google.com/groups/opt_out.
