Systems Archive 1

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Re: Converting to Sharpe ratios or N0.

Posted by T-Hopper on 20 May 1998, at 11:12 p.m., in response to Converting to Sharpe ratios or N0., posted by Kim Lee on 20 May 1998, at 4:07 p.m.

I think ROI is the best figure for these kinds of comparisons. Its is inversely proportional to N0 but places the number in a more meaningful context to most people. Also, not only does 1% RoR give what I consider to be a reasonable number of units in the bankroll, it also has a rick of "half-ruin'(loss of 50%) of a nice even 10%.


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