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Ger

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Posts: 62

Joined: 10/11/2012
Location: Austin, TX

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Subject : RE: What's your favorite risk-return measure?
Posted : 4/14/2014 2:04 PM
Post #29790 - In reply to #29776

Question: Has anyone considered an exponential moving average EMA for ranking portfolios or even for strategies. For Portfolios, the input data would be the percent profit (loss) of every completed trade taken be the sum of all strategies. For multiple closed trades on any given day, one may have to calculate an average profit or loss for that day.

For strategy ranking, one could use the same type of data, ie percent profit (loss) for calculating an EMA for the individual strategy.

Advantage would be the the higher weighting applied to the nearest data.

Any thoughts?
Gerry
Deleting message 29790 : RE: What's your favorite risk-return measure?


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