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Normalize Sharpe, Sortino and Calmar ratios #2

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rosasurfer opened this issue Jun 14, 2017 · 2 comments
Open

Normalize Sharpe, Sortino and Calmar ratios #2

rosasurfer opened this issue Jun 14, 2017 · 2 comments
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@rosasurfer
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rosasurfer commented Jun 14, 2017 •
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Normalize ratios (annually or monthly) across instruments and timeframes to make tests on different instruments/periods comparable. Needs an M1 equity recording for each test which gives a more realistic MAE/MFE sample for higher timeframe tests. One additional run is fast but should be pushed to the background (e.g. to a job queue).
@rosasurfer rosasurfer reopened this Jun 17, 2017
@rosasurfer
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commit 316e253 closed the wrong issue

@rosasurfer
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see #3 as a required precondition

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