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Sharpe Ratio - Printable Version

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Sharpe Ratio - Blade - 01-06-2018

Depends of the strategy, what are the meanings to up our sharpe ratio ? It's really hard for me to have over 0.9...
Thank you

RE: Sharpe Ratio - askmike - 01-19-2018

The sharpe ratio is a measure of risk versus profit. If you have a strategy that is very profitable sometimes but on other times loses a lot of money it's still risky. From a risk perspective a strategy that always makes a tiny profit but never any loss is considered a lot safer.

RE: Sharpe Ratio - aketekt - 09-11-2018

My sharpe is 248.. on investopidia it say anything over 1 is good and over 3 is very good. Mine seem....eerrr. very high! What does the mean? It's over fitted?

RE: Sharpe Ratio - askmike - 09-12-2018

There is a bug with the latest sharpe calculations. I will fix asap!

RE: Sharpe Ratio - aketekt - 09-12-2018

(09-12-2018, 05:22 AM)askmike Wrote: There is a bug with the latest sharpe calculations. I will fix asap!

Great. Well I only got this up and running two days ago so it's no problem for now. I have to say it's a massively awesome feeling to get this up and running. Today I connected via ssh to my server from my smart phone while at work and watch gekkoga do it's thing. So awesome finally to see Gekkoga, gekko and neuralnet strat working together..

Just for extra insight it looks like I had overfitted .. For now I'll keep experimenting.. Sharpe is not that important for me yet. I need to work on my optimisation process.