4 ms·
It seems that you consider the sharpe ratio to be not worthwhile. Would you be able to elaborate on that point? As someone who is getting into algotrading, I’m
by hobbescotch 7y ago
It seems that you consider the sharpe ratio to be not worthwhile. Would you be able to elaborate on that point? As someone who is getting into algotrading, I’m currently using the sharpe ratio to quantify risk, but would like to hear another take on it.
- lordnacho 7y agoThink there's a paper by Andrew Lo about how to adjust it for different distributions.