Why Sharpe ratio is not provided in Optimization Results?
Author: wbzhang
Creation Date: 6/30/2011 2:56 PM
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wbzhang

#1

6/30/2011 2:56 PM

I noticed several performance measure are listed after Optimization, like Profit factor, Recovery factor, and payoff ratio. But Sharpe is even more important, why it is not listed?
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Eugene

#2

6/30/2011 3:34 PM

Perhaps I have to add this to the FAQ...

You're in Raw Profit mode. By definition, there is no starting capital and consequently, no Sharpe, no Max Drawdown % or Exposure. Switch the strategy you're trying to optimize to one of the Portfolio Simulation options from the Position Sizing dialog.
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wbzhang

#3

6/30/2011 5:05 PM

No, I'm not in Raw Profit mode. I am in Portfolio simulation mode, but with my own customized PosSizer. Is that the reason?
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Eugene

#4

6/30/2011 5:37 PM

Before runnning an optimization, switch to a Scorecard with Sharpe ratio: Extended or MS123 Scorecard.
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