Hi. The manual talks about Annual Return not being a very good measure of a strategy's performance, and gives minimum acceptable values guidelines for Sharpe Ratio, etc. But what about beyond those minimums? At this point I have no "feel" for that...

There are theoretical maximums, but what values are far enough beyond the minimums to make someone(s) who've been doing this for a while sit up & take notice?

In other words, if we want to go beyond the minimums, what values should we be striving to have our Tests achieve?

Or is the real-world experience that Pareto kicks in and getting 20% beyond the minimums isn't worth the additional 80% of work?

Thanks.

I could be wrong, but I don't know if I'll ever get a good "feel" for a specific value that satisfies me.

On the other hand, I do know what dis-satisfies me.

But for going beyond... I'd say I'm planning to always improve, that it will be a never-ending cycle of R&D. Given that belief, I would like to structure my expectations so that I can be trading and researching at the same time.

A wise mentor of mine once told me that during the beginning phases, a trader would spend 80% of his time researching while only 20% actually trading. Over time, that would shift to 20% research and 80% trading. That advice was in regard to discretionary trading though.

I would guesstimate that time-spent trading with Zorro will be nearly always nil, because once you trust Zorro, then you really don't have to spend any energy on worrying or babysitting how it's handling your account. Instead, nearly 100% of your energy can be continually spent on research and creation of new improved tradebots.

As far as acceptable value guidelines... I think it is not correct to try to put trading performance in a box, aside from limiting risk. The sky should be the limit.

And for n00bs like myself, I would say that one could use other known information like the Z strategies as inspiration for what is already possible. For example, look at this sexy curve: it's outstanding to me:


While I can't yet reach that type of trading efficiency, at least I know it's possible and not impossible. Therefore, I'm inspired to keep hunting.