Sharpe Ratio implementation into a trading strategy

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  • 01/16/2021 at 12:08 PM #158052 quote
    borderlineJim
    Participant
    Senior

    Hi there

    This is my first post on ProRealCode!

    I am completely new to programming and I must admit it is great fun to play with! How I wish I had started sooner. Oh well….. Anyway….

    I have a question regarding the Sharpe Ratio.  I have been programming some simple automated strategies on the lower time-frames for fun and to give me some experience. I have also been trying to optimize and experiment with well known strategies made by other programmers (who have kindly shared them for the benefit of the community!).

    My question is, what is an acceptable Sharpe Ratio for lower time-frame strategies on an individual level and not as part of an overall portfolio? How would you implement these strategies into a larger portfolio?

    Kind Regards

    JayKay

    01/16/2021 at 1:16 PM #158060 quote
    GraHal
    Participant
    Master

    Welcome JayKay

    Have a read on the link below …

    V11 – Sharpe Ratio, Meaningful or Not?

    Monobrow and borderlineJim thanked this post
    01/16/2021 at 1:21 PM #158061 quote
    Monobrow
    Participant
    Senior

    Hi, and welcome!

     

    I’m  also fairly new to coding, but not trading as such. Now… I may be being controversial here… but honestly, I don’t think I’ve  ever bothered with sharpe ratios when it comes to day/swing trading and building my algos.

    My thought process is more around:

    1. What is my strategy, that usually needs to work manually first or its clear from charts it works.

    2. Is it relatively simple? Ill just say, less than 5 indicators. Although thats an arbitrary number. But general consensus is less is more, especially to avoid curve fitting.

    3. can I code it? Is it possible to code and automate as not all manual systems are. And the people here have amazing knowledge, but do try yourself first too.

    4. Then, once the code is in, i’m pretty much only interested in the win%, max concurrent losses, max drawdown, gain/loss ratio and number of trades / day

    5. Then move into test mode – backtesting, walk forward and also search forum for “VRT” testing.

    That said, also good to try things out and find your own magic, maybe sharpe is it?! 👍

    borderlineJim thanked this post
    01/16/2021 at 1:25 PM #158062 quote
    Monobrow
    Participant
    Senior
    GraHal wrote:

    Have a read on the link below …

    I missed that before, very happy it more or less agrees with what I just said, hah!

    thanks Grahal.

    GraHal thanked this post
    01/18/2021 at 10:18 AM #158241 quote
    borderlineJim
    Participant
    Senior

    thanks to GraHal and Monobrow for the prompt reply! This seems a great little community!

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Sharpe Ratio implementation into a trading strategy


ProOrder: Automated Strategies & Backtesting

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borderlineJim @borderlinejim Participant
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This topic contains 4 replies,
has 3 voices, and was last updated by borderlineJim
5 years, 1 month ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 01/16/2021
Status: Active
Attachments: No files
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