Search found 5 matches
- Mon Oct 06, 2003 10:35 am
- Forum: Testing and Simulation
- Topic: Maximum Adverse Excursion
- Replies: 16
- Views: 17821
- Fri Apr 18, 2003 10:41 am
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 103907
Un-Sharpe Ratio
What I find interesting is that they prefer the:
1 2 3 4 5 6 7 8 9 10
curve to the:
1 2 5 6 8 9 12 13 15 16
curve.
Smoothness dominates return
1 2 3 4 5 6 7 8 9 10
curve to the:
1 2 5 6 8 9 12 13 15 16
curve.
Smoothness dominates return
- Thu Apr 17, 2003 10:54 am
- Forum: Testing and Simulation
- Topic: Computing the MAR Ratio - Using what sort of drawdown?
- Replies: 4
- Views: 10520
Computing the MAR Ratio - Using what sort of drawdown?
How do you compute the MAR ratio? I know it is basically: annualized return / maximum drawdown However, the MAR group uses month end drawdowns based on total equity including open positions. Is this what Trading Recipes uses? Do you base this on the account balance of closed out trades or total equi...
- Wed Apr 16, 2003 11:04 pm
- Forum: Futures Markets
- Topic: How are people executing futures trades?
- Replies: 6
- Views: 8600
How are people executing futures trades?
What are people using for brokers and execution for futures trades?
Has anyone had success with all electronic execution systems in futures?
How happy are you with these solutions?
Has anyone had success with all electronic execution systems in futures?
How happy are you with these solutions?
- Wed Apr 16, 2003 5:59 pm
- Forum: Testing and Simulation
- Topic: Maximum Adverse Excursion
- Replies: 16
- Views: 17821
Interesting
I've found that it often appears as if by making one change you could make huge improvements in the system. However and unfortunately, systems and markets behave much more like mature ecosystems where the relationships between the parts are complex and often unknowable absent empirical testing. Chan...