Testing and results

Posted By: ibra

Testing and results - 07/29/14 07:28

Hi!

When testing the strategy, do you guys use like a "standard" startdate? Like myself, my rule of thumb is to test the strategy the past 10 years, I think the biggest reason is to get enough trades for the strategy.

When checkning the results, which figures of the performance reports do you 'focus' on? I tend to look the most at the sharpe ratio. In the manual it says that tradeable strategys should have a SR > 1. I guess they mean in both the normal test as well as in the forward test - or can you accept a worse SR figure in a forward test? Like > 0.85? Whats your thought about this - discuss!

Sunny wishes

IBra

Posted By: Mothership

Re: Testing and results - 08/14/14 13:47

Hello!

I too have the same thoughts as you regarding the sharpe ratio figure and this quote in the tutorial

Quote:

The low Sharpe Ratio (SR) tells her that this result comes at a risk. The Sharpe ratio is the mean profit divided by its standard deviation. Sharpe ratios below 1 indicate that the gains fluctuate a lot - there might be years when the strategy achieves a lower profit, or even a loss

Does this mean that I can "accept" (I know that it's up to me of coure) a lower SR-figure because it only means that the gains fluctuate, or does the tutorial really says that a strategy isn't tradeable with SR < 1?