Monthly Archives: June 2012

Sharpe Ratio alone is not enough – Part 2

Continuing with the considerations about performance measures, I want to introduce the fitness function I am currently using as well as a simple trick to use it to avoid curve fitting. To use some actual figures as an example, here … Continue reading

Posted in On backtesting, Performance Metrics | Tagged , , , | 2 Comments

Sharpe Ratio alone is not enough

I want to suspend for now the series of posts regarding volatility (may go back to it some time in the future), and discuss an often overlooked but extremely important topic in developing a trading strategy that works outsample and … Continue reading

Posted in On backtesting, Performance Metrics | Tagged , , , | 1 Comment