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Eric Severance

Member

Posts: 23

Joined: 10/11/2012
Location: Incline Viallge, NV

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Subject : Advanced measurement tools (Alpha Ratio, etc.)
Posted : 4/11/2014 1:49 PM
Post #29743 - In reply to #29721

I’ve been working on OV tests as well as rigorous backtesting of strategies (in OT, Tradestation, etc.). Steve, I was happy to hear you brought this (measurement topic) up (again) and created a section in the Forum to get a discussion going. A recent performance measurement article I read (re: Measurement, Alpha Ratio, attached) may be relevant to this discussion IMHO. More modern, advanced measurement metrics like this may help us even better evaluate, compare, and rank, (switch/balance) various strategies and portfolios - to have an even better tool in OV. See what you think.

Regards,
Eric Severance
Attached file : Measurement - Alpha Ratio - Thomas Stridsman - AT 2-2104.pdf (1852KB - 444 downloads)

Deleting message 29743 : Advanced measurement tools (Alpha Ratio, etc.)


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