How to calculate expectancy of trading system

You are using an out of date browser. It may not display this trading other websites correctly. You should upgrade or use an alternative browser. Discussion in ' Risk Management ' started by EddyCalculate 6, Log in system Sign up. Hi, I am a bit puzzled about the Sharpe ratio calculation and its use. Here is the background: I am presently backtesting over 4 years some ES trading systems based on intraday bars typically, 3 minutes one.

Til recently, System was focusing mainly on Profit Factor, calculate Drawdown, consecutive losers, etc, ie the usual performance indicators as nicely presented by C. Wright in his latest article on "The Science of Expectancy Evaluation".

On first sight, the Sharpe Ratio Formula sounds pretty simple: The Sharpe ratio seems to be originally intended for daily trading strategies. For example, Tradestation will not report a Sharpe ratio for intraday strategies and Calculate am not sure, by the way, if this figure is available in Wealth Lab Anybody knowing WHY this do not appear in TS? But what about the reference for getting how corresponding percentage? Is trading systematically the equity at the how of the backtest period?

If I am trading a fixed number of ES contracts, it looks logical to take the initial available equity as constant reference. But expectancy if I increase the number expectancy lots when I get more equity available? Expectancy the Sharpe ratio using a constant reference still make sense for a trading trading system performance comparison? It concerned the impact of system leverage used in my ES trading equity in term of Sharpe Ratio analysis. For this point, I was pointed to a great article of Bob Fulks system provides quite clear answers.

Have a look to: Anyone having feedback on using this approach? Thank you for your inputs, Eddy. I thought only hedge funds or people doing arbitrage care about Sharpe Ratio. Daytraders only care about returns. The Sharpe Ratio is only applicable to a totally mechanical trading system Sharpe ratio also works for me with intraday data.

As far as dumping the trades from Tradestation into excel, how do you get rid of the dates in the column in how performance report? The Sharpe ratio, in calculate view, has to be taken system account along with other performance figures. In this area, I found the max Drawdown or max consec. From my very little experience following live a trading system, my biggest concern is to know HOW long it will take til a new equity high is reached ie I would like to know the typical distribution curve of this information: I wonder what was considered at your trading desk to be a good RRR figure?

Together with RRR, I will focus trading well on some volatility measurements of the Drawdown duration and depth. How, I calculate to run some Montecarlo simulations in order to investigate the possible range of drawdowns. I how finished reading the great free book from Larry Sanders on the possible use of such simulations for evaluating different types risks strategies. It can be downloaded at: You must log in or sign up to reply here.

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