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Author Topic: PERFORMANCE METRICS - which one is regarded as most accurate overall?  (Read 1956 times)

Offline outsidetheboxhk

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Which site calculates the Sharpe Ratio correctly? As is widely accepted?
These articles talk about the standard measure and how it should be calculated. But which verified account statistics sites has the right calculation?
What other performance measures / metrics are most widely watched by those looking for talented traders / systems?
Colmar Ratio? Sortino Ratio? Profit Factor? Recovery Factor?


I would appreciate a healthy dialogue about which score you feel is the best measure overall used by Trading Talent Recruiters and those analyzing the returns achieved by emerging money managers / portfolio managers.

https://www.investopedia.com/articles/stocks/11/5-ways-to-measure-money-managers.asp
https://www.investopedia.com/articles/08/performance-measure.asp
https://www.theinvestorspodcast.com/blog/measuring-portfolio-performance-the-sharp-ratio-and-sortino-ratio-for-value-investors-2/


See my Sharpe Ratio at these three different verification websites (most are different values):

https://psyquation.com/#!/home/leaderboard -- Outside the Box is now ranked #12 -- Sharpe Ratio = 4.16
https://www.fxjunction.com/profile/OutsidetheBoxHK/#performance -- Sharpe Ratio = 1.97
https://www.fxstat.com/en/performances/view/Outside-the-Box---Master-Account-84720 -- Sharpe Ratio = 0.63
https://fundseeder.com/leaderboard/leaderboard/sharpe_ver/1 -- Sharpe Ratio = 3.83
https://www.mql5.com/en/signals/305461 -- Sharpe Ratio = 0.18
https://www.myfxbook.com/members/OutsideTheBoxHK/outside-box-master-account/2087437 -- Sharpe Ratio = 0.19
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Offline Trunk

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Myfxbook is the best platform for analyzing your trading performance. I use it to get better understanding of my trading with Hotforex.

Offline dasher1980

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Sharpe is pretty standard and universal, however how the sharple of you trading signals ranges from 0.18 to as high as 4.16!
Something is not right here, if thats for the same signal/trading book

Offline outsidetheboxhk

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Sharpe is pretty standard and universal, however how the sharple of you trading signals ranges from 0.18 to as high as 4.16!
Something is not right here, if thats for the same signal/trading book

Yes this is part of the reason why I asked.
There obviously are different methods to calculate Sharpe Ratio used by metric websites.

Overall though....

The higher a fund's Sharpe ratio, the better a fund's returns have been relative to the risk it has taken on. Because it uses standard deviation, the Sharpe ratio can be used to compare risk-adjusted returns across all fund categories.
1. Given the choice of two portfolios with identical returns, we should prefer the one with the lowest amount of risk.
2. The word risk is used to describe the volatility of returns, which we quantify using standard deviation.
3. The higher the standard deviation, the more volatile (risky) the investment is expected to be. We could also say that a higher standard deviation means there is a more uncertainty in our expected return.

These three main points were demonstrated by comparing two portfolios with the same average return, but different levels of volatility. The problem with this analysis is that it doesnt apply well to real life in which investors must compare multiple portfolios with different returns.

In order to make an apples-to-apples comparison, we must make an adjustment for risk using the Sharpe Ratio. The technical description of the Sharpe Ratio is it allows us to measure risk-adjusted returns, or the amount of additional return per unit of risk.
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Offline dasher1980

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I actually never look at sharp ratio in FX investing, in FX its all about leverage.
You can have a very low vol strategy on paper with lots of leverage giving you a very high return, and therefore an amazing sharp. But one major event, Swiss, Brexit, Trump etc.. and you can lose 50% of your account because of the high leverage... in that case your sharp doesn't really mean anything.

With Equity investing, I would say the sharp is much more important as those tail risk even cant really create that much chaos in you portfolio...

Offline fulltimetrader

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Spot-on Dasher.

"Risk is one word, but it is not one number",
Harry Kat, Professor of Risk Management and Director Alternative Investment Research Centre at Cass Business School, City of London

Offline Trunk

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What does this phrase mean? Can you explain please I mean how it's related to forex?

Offline fulltimetrader

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In line with what Dasher wrote, Harry Kat states that Sharpe Ratios are worthless and meaningless for most alternative investments because the ratio is calculated from returns that miss the rare catastrophic losses which are inevitable. He said "You can create portfolios that can only lose money but have high Sharpe ratios!"
Mr. Sharpe agreed on that and said  "The way to make investment decisions is to throw all the variables into a computer. Sharpe ratios may be a good place to start, but it's not where you want to end up."
« Last Edit: July 24, 2018, 07:54:00 AM by fulltimetrader »

Online reinerh

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the only thing which counts to me is dd to gain ratio, in my humble opinion thats the most important number to look at.

dd equals pain, so the pain endured for the gains achieved, as simple as that.

forget about all the other wizzbang formulas, this one is sooooooooo easy to implement and figure out.

on myfxbook is a bit deceiving, but darwins are dead on = show the most accurate i seen to date.

Offline fulltimetrader

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That's what I use too, Reinerh. That's the most important number for me.
Although it does not take into account how long it takes to get over a certain DD.
I got no problem with that since we can judge the performance curve visually. That's why I like fixed lot tests best.

 

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