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Steve Mayo

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Subject : RE: Advanced measurement tools (Alpha Ratio, etc.)
Posted : 4/12/2014 5:37 PM
Post #29763 - In reply to #29761

Interesting idea, Pete. Thanks for suggesting it.

Its a question for the programmers, but I THINK that the only historic data that will be available to the port switcher/balancer is the mark-to-market equity curve (EOD equity), not the individual trade data. If I'm right, then it wouldn't be able to average individual trade R's as Van Tharp suggests.

But, I'm certain it could do composite reward:risk measures on the mark-to-market equity. the kind of metrics someone would use to compare two mutual funds, like Calmar, Sharpe, Sortino, Ulcer Index, Info Ratio, Alpha/Beta, etc.

I know Jim and others have requested intraday stops and similar risk-controls/metrics be added to the live processing cycle. The difficulty on that, I would think, is the same as going to real-time. Being able to process all the user accounts fast enough. I think Nirvana will get there, it just might take a bit more time and cash flow. :-)



[Edited by Steve Mayo on 4/12/2014 5:40 PM]

Deleting message 29763 : RE: Advanced measurement tools (Alpha Ratio, etc.)


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