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Jim Dean

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Posts: 1059

Joined: 10/11/2012
Location: L'ville, GA

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Subject : RE: What's your favorite risk-return measure?
Posted : 4/24/2014 2:10 PM
Post #30011 - In reply to #30009

Hi, Steve(2)

I like your approach a lot. It's sensible, and psychologically satisfying. I might well choose to use a Port that has a lower CAR, if the "score" you are describing is high.

Suggestion: optionally allow for the various periods-slice results to be forward-weighted somewhat, so that a case with 80% periods profitable with the 20% unprofitable near the left, will show up as worse than 80% profitable, with the 20% profitable near the right.
Deleting message 30011 : RE: What's your favorite risk-return measure?


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