Sharpe Ratio and Backtest and accuracy

• 12/26/2021 at 4:01 PM #183851
  Khaled

  Hello folks, Merry Christmas and Happy Holidays Season !

  I wonder how accurate the PRT Sharpe Ratio is. I’ve a backtest showing Sharpe Ratio for Short of 2.23 and for Longs of 1,431.83. Whatever these values are, I wonder how the Sharpe Ratio of the System (all trades) can be 1.17, while the two Long/Short values are greater than 2?

  Thanks for your comments.

  

  Khaled

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  12/27/2021 at 11:49 AM #183872
  Nicolas

  Good reading about z-score:

  https://www.prorealcode.com/topic/v11-z-score-meaningful-or-not/

  https://www.prorealcode.com/topic/z-score-to-improve-strategies/

  1 user thanked author for this post.

  Khaled

  

  Nicolas

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  12/27/2021 at 12:23 PM #183875
  Khaled

  Nicolas, I want to thank you, and also thank Roberto, Vonasi, GraHal, and many others form the bottom of my heart for your time and valuable help. A great community.

  Interesting reading about Z-Score. However, my question was about Sharpe Ratio, as calculated by PRT. Thanks

  1 user thanked author for this post.

  GraHal

  

  Khaled

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