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 +1
  • Project SQ Programming
  • Type Feature
  • Status New
  • Priority Normal

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p
#1

partizanas

18.01.2019 11:19

Task created

HH
#2

Hans

18.01.2019 11:19
Voted for this task.
N
#3

nathan

18.01.2019 11:19
Voted for this task.
o
#4

Enric

18.01.2019 11:19
Voted for this task.
o
#5

Enric

18.01.2019 11:19

Specially if Sharpe is currently buged:

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


m
#6

Martin

18.01.2019 11:19
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? 
g
#7

geektrader

18.01.2019 19:38
Yes exactly, it will take longer and longer the more strategies cumulate. Not a good idea.
b
#8

bentra

03.07.2019 09:34
Voted for this task.
b
#9

bentra

03.07.2019 09:37
I would find them interesting even if these metrics take a lot of extra time to calculate.

Votes: +1

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