Gamestudio Links
Zorro Links
Newest Posts
Performance report in trade mode
by jcl. 01/18/20 09:25
oldschool fps project
by 3run. 01/14/20 19:15
Question about Clipping
by Dooley. 01/13/20 04:16
Simple backtest for SPX intra weeklies
by interzonez. 01/13/20 03:42
Trojan Agent
by jcl. 01/12/20 08:36
Multiplayer c-script example
by Truth. 01/10/20 19:45
Virtual hedging @OANDA
by jcl. 01/10/20 12:53
AUM Magazine
Latest Screens
The Space Between
Pogostuck: Rage With Your Friends
Worst Case Z
AckCon'18 - Lotter vs the World 2 - Preview Release
Who's Online Now
3 registered members (Dooley, interzonez, Dalla), 342 guests, and 5 spiders.
Key: Admin, Global Mod, Mod
Newest Members
Leohermoso, matchristrading, pablomfz, tenrally, TradeOperator
18357 Registered Users
Previous Thread
Next Thread
Print Thread
Rate Thread
Sharpe ratio #471271
02/26/18 00:45
02/26/18 00:45
Joined: Dec 2017
Posts: 129
Halifax, NS
K
kujo Offline OP
Member
kujo  Offline OP
Member
K

Joined: Dec 2017
Posts: 129
Halifax, NS
Hi,

Manual says: A Sharpe ratio of 1.5 would be equivalent to a savings account with 50% risk-free interest.

I wonder on what basis?

Saving account with 50% risk-free interest has risk = 0 by definition. Profit is fixed. Std=0. How Sharpe could be 1.5 ?

Re: Sharpe ratio [Re: kujo] #471341
02/28/18 14:17
02/28/18 14:17
Joined: Jul 2000
Posts: 27,092
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,092
Frankfurt

Re: Sharpe ratio [Re: jcl] #471357
02/28/18 21:07
02/28/18 21:07
Joined: Dec 2017
Posts: 129
Halifax, NS
K
kujo Offline OP
Member
kujo  Offline OP
Member
K

Joined: Dec 2017
Posts: 129
Halifax, NS


Well, I know what is Sharpe ratio... That's why your result looks strange for me. The very idea of measuring Sharpe of a saving account is strange for me.

And I asked how did you come up with 1.5. Could you explain your formula and what values did you used to get 1.5?

Last edited by kujo; 02/28/18 21:18.
Re: Sharpe ratio [Re: kujo] #471395
03/02/18 17:38
03/02/18 17:38
Joined: Jul 2000
Posts: 27,092
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,092
Frankfurt
The Sharpe Ratio converts volatile profit to its nonvolatile equivalent. it is a metric for trading systems. There is no "Sharpe Ratio of a savings account". Share ratio is very common and you can find all details under the Wikipedia Link.

Re: Sharpe ratio [Re: jcl] #471407
03/02/18 20:55
03/02/18 20:55
Joined: Dec 2017
Posts: 129
Halifax, NS
K
kujo Offline OP
Member
kujo  Offline OP
Member
K

Joined: Dec 2017
Posts: 129
Halifax, NS
Thank you! The only thing I don't understand is how you come up with this:
Quote:
Sharpe ratio of 1.5 would be equivalent to a savings account with 50% risk-free interest.

Re: Sharpe ratio [Re: kujo] #471436
03/04/18 11:40
03/04/18 11:40
Joined: Sep 2003
Posts: 865
Spirit Offline

Moderator
Spirit  Offline

Moderator

Joined: Sep 2003
Posts: 865
When you have Sharpe ratio 1, its comparable to 0% riskfree return, and Sharpe ratio 2 is 100% riskfree return, so you can do the math for Sharpe ratio 1.5.

Re: Sharpe ratio [Re: Spirit] #471442
03/04/18 14:48
03/04/18 14:48
Joined: Dec 2017
Posts: 129
Halifax, NS
K
kujo Offline OP
Member
kujo  Offline OP
Member
K

Joined: Dec 2017
Posts: 129
Halifax, NS
Originally Posted By: Spirit
When you have Sharpe ratio 1, its comparable to 0% riskfree return, and Sharpe ratio 2 is 100% riskfree return


I'd appreciate if you could share the link to the information (except the manual) in support of this statement. I never seen this kind of comparison in any kind of Sharpe related papers (including paper's by William Sharpe). So, some kind of explanation and proof would be great!

Thank you!

Re: Sharpe ratio [Re: kujo] #471454
03/05/18 09:26
03/05/18 09:26
Joined: Sep 2003
Posts: 865
Spirit Offline

Moderator
Spirit  Offline

Moderator

Joined: Sep 2003
Posts: 865
I think no link is needed, just a little considering:

A trading system where you have X return at cost of the same X risk is comparable to a 0% savings account where you invest X $ and still have X $ in the account after a year.

And a trading system where you have 2*X return at cost of X risk, so Sharpe = 2, is comparable to a savings account where you have 2*X $ at cost of investing X $. So, this savings account has 100% return.

Re: Sharpe ratio [Re: Spirit] #471482
03/06/18 01:23
03/06/18 01:23
Joined: Dec 2017
Posts: 129
Halifax, NS
K
kujo Offline OP
Member
kujo  Offline OP
Member
K

Joined: Dec 2017
Posts: 129
Halifax, NS
Ok, thank you, now I see you way of thinking.


Gamestudio download | chip programmers | Zorro platform | shop | Data Protection Policy

oP group Germany GmbH | Birkenstr. 25-27 | 63549 Ronneburg / Germany | info (at) opgroup.de

Powered by UBB.threads™ PHP Forum Software 7.7.1