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Perfomance and Return/Risk Ratio

I recommend reading this article and evaluating whether it is possible to add perfomance and Return/Risk Ratio parameters in filtering strategies.

Because Sharpe ratio is not a perfect filter.



https://blog.darwinex.com/sharpe-ratio-strategy-performance/

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  • Votes +3
  • Project StrategyQuant X
  • Type Feature
  • Status Moved
  • Priority Normal
  • Assignee Mark Fric
  • Milestone Build 118

History

Rr
#1

Partizanas

07.01.2019 16:59

Task created

MF
#2

Mark Fric

08.01.2019 10:03

Assignee changed from Mark Fric to Mark Fric

Milestone changed from To be done later to Build 118

HH
#3

Hans

08.01.2019 17:19
Voted for this task.
N
#4

nathan

08.01.2019 19:44
Voted for this task.
o
#5

Enric

10.01.2019 14:47
Voted for this task.
o
#6

Enric

10.01.2019 14:47

Specially if Sharpe is currently buged:

https://roadmap.strategyquant.com/tasks/sq4_3620


m
#7

Martin

11.01.2019 09:39
If It has to generare many random strategies for each strategy and compare them with the one you have, would not it take a lot more of time just to have that perfomance metric? 
MF
#8

Mark Fric

18.01.2019 11:19
Task moved to project SQ Programming, new link to task: https://sq.projectpanel.com/tasks/sqp_0036
Votes: +3

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