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Sharpe ratio

Best Performing Forex Pair Should Hugely Increase Your Expected Return And Sharpe Ratio

Proper metrics under proper conditions The first little bit talks about the combination. I have tested this on multiple time frames but usually find these 2 best performing currency pairs historically will give you highest expected rate of return and expected Sharpe as well. Note that there is a gap of blackness in video so …

Best Performing Forex Pair Should Hugely Increase Your Expected Return And Sharpe Ratio Read More »

Combining best performing forex pair should hugely increase your expected return and Sharpe Ratio

Combining best performing forex pair should hugely increase your expected return and Sharpe Ratio Proper metrics under proper conditions The first little bit talks about the combination. I have tested this on multiple time frames but usually find these 2 best performing currency pairs historically will give you highest expected rate of return and expected …

Combining best performing forex pair should hugely increase your expected return and Sharpe Ratio Read More »

PDF Red Rock research paper: Is there such thing better than a Sharpe Ratio for measuring your trading activity?

PDF Red Rock research paper: Is there such thing better than a Sharpe Ratio for measuring your trading activity? This was just sent in by the NYC contact. Click to access RedRock_Sortino_white_paper.pdf See how we use thie benchmark by joining my FREE newsletter NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT …

PDF Red Rock research paper: Is there such thing better than a Sharpe Ratio for measuring your trading activity? Read More »

How to use performance metric like Sharpe Ratio to reduce your drawdown in your trading?

How to use performance metric like Sharpe Ratio to reduce your drawdown in your trading? Again, thank to my NYC source for providing this http://www.stat.cmu.edu/~abrock/algotrading/page9.html Find out how we plan to do this through our FREE newsletter NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don’t worry as I …

How to use performance metric like Sharpe Ratio to reduce your drawdown in your trading? Read More »

Here is my opinion of CAPM and Sharpe Ratio while you research your potential profitable quant trading strategy

Here is my opinion of CAPM and Sharpe Ratio while you research your potential profitable quant trading strategy This came in from some one on my email list: Question: do you know much about capm or sharpe ration? http://www.investinganswers.com/financial-dictionary/stock-valuation/capital-asset-pricing-model-capm-1125 I want to write my own sharpe ratio and was hoping someone can help clarify a …

Here is my opinion of CAPM and Sharpe Ratio while you research your potential profitable quant trading strategy Read More »

Volatility weighting and volatility targeting improves Sharpe Ratio

Volatility weighting and volatility targeting improves Sharpe Ratio There is increasing interest in risk-controlled investment strategies, such as volatility weighting and volatility targeting. However, surprisingly little has been done from a theoretical perspective in studying the relative dominance or optimality of volatility weighted strategies. I recently wrote a paper ( http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2008176 ) in which I …

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Learn Maximum number of intraday Sharpe ratio

Learn Maximum number of intraday Sharpe ratio Get more details here to get access to the course and other huge benefits including High Frequency Trading platform building, QuantLibXL analysis, Matlab, etc. http://quantlabs.net/quant-member-benefits/slash-your-quant-learning-curve/ Thanks for reading Bryan   NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don’t worry as I …

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Videos on algo strategy development course with Sharpe Ratio, Periodic rate of return, benchmarking, and Profits from limit orders

Videos on algo strategy development course with Sharpe Ratio, Periodic rate of return, benchmarking, and Profits from limit orders   Dear Fellow Quant:   A lot of traders have been getting very excited about my new High Frequency Trading (HFT) Algorithm/Strategy Development Course.   That’s because no one else is doing detailed quant analysis reviews …

Videos on algo strategy development course with Sharpe Ratio, Periodic rate of return, benchmarking, and Profits from limit orders Read More »

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