Acceptable Sharpe Ratio for live trading?
#3
(04-15-2018, 07:50 AM)tommiehansen Wrote: A higher sharpe ratio is preferrable however you do also got other metrics (that Gekko doesn't output currently) like win% (amount of trades that was a win) and what the average win and loose was etc. There's also alternate methods of measuring risk such as Sortino Ratio.

But since you do not got that data and only sharpe try using things that at least backtest over 0.

In the regular markets i wouldn't touch anything that had a sharpe below 1. Do note that crypto is insanely volatile though so getting over 1 in sharpe is a lot harder.

Thanks!

Most all my profitable tests with different strategies show a ratio below 0.  Sometimes only -0.5 or so.  I usually test across multiple time periods as well to make sure the strat returns a profit during different market trends.  

I'll start retesting to see if I can improve the Sharpe Ratio, which is always different depending on the test's time period.  I know it will be challenging to consistently find a positive ratio.

Any additional tips are welcome!

Thanks again...
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RE: Acceptable Sharpe Ratio for live trading? - by bojim - 04-15-2018, 01:29 PM

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