What are good sharpe & PF values for a system?

[rafla]

Thanks Horace,

2) that's interesting, those has to be trend folowing strategies in that case. I think that even up to 80% profitable scalping strategies is possible to find.?

(Yes, and my whole system collapsed to some unrealistic trades as money management wasn't correct and the strategies are no more optimized after that)

 

[meanreversion]

80% profitable with what win:loss ratio?

I can show you a system with a 99% win rate, but I guarantee you won't trade it.

 

[horace]

Sorry to hear that Rafla. I hope the harm was limited.

Correct, they are trend followers strategies. I don't really think 80% profitable trades is a realistic ratio to expect in the long term in any case.

Thanks,

2) that's interesting, those has to be trend folowing strategies in that case. I think that even up to 80% profitable scalping strategies is possible to find.?

(Yes, and my whole system collapsed to some unrealistic trades as money management wasn't correct and the strategies are no more optimized after that)

 

[tea42]

I may have missed something but the Sharpe ratio deserves more consideration here. A succinct discussion of the ratio is included in the estimable volume " High Frequency Trading" by Irene Aldridge. (pp 59-60). You need to make a distinction between annual Sharpe ratios and corresponding monthly and daily ones depending on what data is used in the calculations.

 

[meanreversion]

I may have missed something but the Sharpe ratio deserves more consideration here. A succinct discussion of the ratio is included in the estimable volume " High Frequency Trading" by Irene Aldridge. (pp 59-60). You need to make a distinction between annual Sharpe ratios and corresponding monthly and daily ones depending on what data is used in the calculations.

Can you explain this a little more? Sharpe is an annualised number, what is the purpose of differentiating between high and low frequency trading systems (if that's what you mean)?

 

[tea42]

I agree. Comparisons need to be on an annual, or annualised basis, to allow meaningful judgements to be made. Basic data for calculation of the ratio may only be readily available in monthly or daily form or whatever, and so-called Sharpe ratios can be calclated from the data on these bases allowing comparisons on a like for like basis. I was not trying to make a distinction about frequency of trading.