Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
I would compare your sharpe ratio of .67 to a benchmark like buying and holding the S&P. For the last 6 years SPY has a sharpe ratio better than 1 so you would have been better off just buying and holding SPY instead of trading this system over the past 6 years.
If you are not doing better than buying and holding an index then you shouldn't trade just to trade. With a sharpe you can compare two return streams so you can compare your system to an index. If trading commodities you could use the CRB index or something like that.
This page is a good reference with some python code: https://www.quantstart.com:443/articles/Sharpe-Ratio-for-Algorithmic-Trading-Performance-Measurement
A number that I have found more meaningful is "Tharp Expectancy" developed by Market Wiazard Dr. Van Tharp.
Tharp Expectancy = avg net profit per trade/ (-avg losing trade)
Anything below 0.10 is tough to trade. I have found good system in the 0.10 to 0.25 range. The higher the better.
Note though that all these performance numbers are meaningless if the strategy was improperly developed.
It is easy, for example, to create an overoptimized strategy with great numbers. You'd likely never know that this was done just from the Performance Report.
So, be VERY careful evaluating reports from strategies you did not create...
That is indeed a good number, but it does NOT mean it is a good strategy. For example, you have 82 trades. How many rules and variables are in your strategy, and how much optimizing did you do? If you used 1 optimized variable to get that, I'd conclude one thing, but if you have 5-10 optimized variables my conclusion would be different.
Also, is this an in-sample report, or an out of sample (or walkforward) report? Again, how that report was created becomes VERY important...
