High Sharpe Ratio OneClick

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High Sharpe Ratio OneClick

Postby George » Fri Feb 29, 2008 10:26 am

For search of MS I used a ‘High Sharpe Ratio’ OneClick. Results have afflicted me.
Has decided to understand and here that has found:

OneClick Setups Listing -> High Sharpe Ratio -> Strategy Performance Tab

Evaluation fields:
Percent in Market: Best Rated Value = 10; Worst Rated Value = 75
Sharpe Ratio: Best Rated Value = 100; Worst Rated Value = 0

But, these evaluation fields in other Strata Search place have other range:

Detailed Analysis Listing -> Review Tab
Percent in Market: Poor >55; Neutral > 65; Good > 75 and Excellent > 85
And – StrataSearch forum -
http://stratasearch.com/forum/viewtopic ... ght=sharpe
taowave wrote:

Now it all makes sense as to why we weren’t finding any Sharpes of 1,which would be 3.5 by MorningStar's calculation..

SS Sharpes of .4 or higher would be considered very good, and anything above .55 would be excellent according to MS


My opinion: evaluation field value for ‘High Sharpe Ratio’ OneClick should be:
Percent in Market:
Best Rated Value = 85;
Worst Rated Value = 55
Sharpe Ratio:
Best Rated Value = 0.55;
Worst Rated Value = 0.28 {1 / sqrt(12) } or 0.1

Very interestingly, and what your opinion? Thanks
George
George
 
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Joined: Wed Jan 31, 2007 12:02 pm

Postby Overload » Fri Feb 29, 2008 1:34 pm

You bring up some interesting points. You're correct that the OneClick Setup for the 'High Sharpe Ratio' uses a range of 0 to 100. While this search will still work properly as it is currently configured, the Sharpe Ratio value would certainly be weighted higher in the algorithm if we used 1 as the Best Rated Value instead of 100. We'll consider changing this in future installations. In the meantime, you're more than welcome to experiment with this setting if you'd like.

Your settings for .55 and .28 are certainly an option as well. Keep in mind, however, that any strategies that have a Sharpe Ratio higher than .55 would not receive a higher score than those with exactly .55. For this reason, I normally like to set the Best Value at the upper range of what's even possible. This way, systems that have exceptionally good values can be rewarded with higher scores. However, because this is configurable, you can set these settings to those of your choice.

As for the Percent In Market, there is actually a difference between what one might want in an individual Strategy versus what one might want in the combined Multi-System. For the Review Tab, you're viewing the combined Multi-System, and you might want that to have a higher Percent In Market to ensure your cash is not sitting on the side. However, for individual strategies, one should also be sure that any individual strategy in the Multi-System isn't in the market an excessive amount of time. For example, if one of your 5 strategies keeps your money in the market 75% of the time, then the remaining 4 strategies will only be in the market 25% of the time combined. This doesn't create much diversity in your system. For this reason, the filter on the Strategy Performance tab of the OneClick Setup rewards systems with higher scores when their strategies are in the market a smaller percentage of time. So, as you can see, there are reasons why you would want individual strategies to be in the market a small percentage of the time, even though you might want the combined Multi-System to be in the market a higher percentage.

The examples we provide with the installation are intended to be just that: examples. So it is good that you've been evaluating them. Hopefully your investigation will allow you to make some helpful improvements.

Pete
Overload
 
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