My sharpe ratio last 7 years is 0.004 but average profit is 17% in the period.
Best year +79.65% worst -0.85
I am very happy with my strategy but the sharpe ratio means no way to “sell” it to any investor or fund
Backtest give me 20% average a year last 27 years, so pretty regular in long run.
At this point, I prefer to think fuck the sharpe ratio, but seem very important in financial industry.
My dream is manage a fund or work in finance and this number 0.004 sharpe ratio seem i can’t make a strategy for using in real finance world.
Submitted October 10, 2020 at 08:15AM by optionexpert