All Questions
Tagged with sharpe-ratio quant-trading-strategies
12 questions
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What does it mean when a systematic strategy yields significantly different backtesting results with minimal changes to the backtesting starting date?
I am testing a simple systematic strategy: I buy a certain product once every five business days and sell it after three business days from the buy date.
In the backtest, this is how I define my ...
- 1
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2
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275
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Why not calculate Kelly using semivariance? As w Sortino
Kelly is calculated as mu / sigma^2. If we remove our highest performing returns from our calculations this actually increases our Kelly leverage, which does not make sense to me. A less profitable ...
- 11
0
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1
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334
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Are there better performance measures for mean-reverting vs trend-following trading strategies?
The Sharpe ratio is often used as measure to assess risk-adjusted returns of trading strategies. However, there are also other measures that can be used to assess risk-adjusted returns like the ...
- 66
0
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1
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338
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Sharpe Ratio Graphed Over Time
I looked and could not find a suitable answer to my question already, so:
What is the best way to calculate the Sharpe Ratio over time, given I have about a decade's worth of 1-minute candlesticks?
I ...
- 101
2
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1k
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Can I use the Sharpe Ratio as an objective function in algorithmic trading?
I’m experimenting with custom loss functions for different trading rules and have come across a few articles citing success in directly using the (negative) Sharpe Ratio as a loss function, ...
- 21
2
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2k
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How to calculate "Differential Sharpe ratio"?
Instead of using the "sliding the time window" method of calculating the sharpe ratio under online framework,
they've defined "differential sharpe ratio" as such
But under equation 5, you can ...
- 173
12
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2
answers
15k
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How to calculate Sharpe Ratio from $ returns?
I have a pairs strategy that I am trying to calculate the sharpe ratio for. Currently I am using python for my analysis and calculation. I have a dataframe that contains the cumulative returns in $'s ...
- 141
1
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1
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438
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Simple Sharpe Ratio Question Related to Trading Strategy
Given a price vector $(p_1,p_2,...,p_n)$ for some stock, then the corresponding return at $k$th day is described by
$$
R_k = \frac{p_{k+1} - p_k}{p_k}
$$
On the other hand, let $W_k$ be wealth at day ...
- 113
8
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3
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6k
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What is an acceptable Sharpe Ratio for a prop desk?
What should be the value of a Sharpe Ratio for an intraday quantitative strategy to be accepted by a bank or hedge fund's prop desk? Let's assume the returns are daily changes in account equity, close ...
- 771
5
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3
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2k
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Bootstrapping Sharpe Ratios
A similar question to this was asked here:
How do i test the significance of Sharpe ratio of a strategy using bootstrap
I have bootstrapped the original time series (using block bootstrapping) and ...
- 879
15
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1
answer
768
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How does one measure the effect of latency on potential returns?
I am looking to evaluate the hypothetical advantage one trading system has over another in terms of the possible returns given their latency.
Irene Aldridge wrote a piece (How Profitable Are High-...
- 484
10
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1
answer
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What is the average Sharpe ratio of volatility arbitrage funds?
Where can I get data on performance metrics for volatility arbitrage funds? I am trying to compare the Sharpe ratio of my strategy to those of the major players.
- 101