Systems Archive 4
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Sharpe ratio, SCORE, ROI
Posted by Kim Lee on 9 July 2001, at 2:03 p.m., in response to 6D Bombshell: Playing Strategy Is Key, posted by T-Hopper on 3 July 2001, at 12:51 a.m.
I think your ROI is just Sharpe ratio squared times .5*log(10) =
SCORE*.115 or something. Are you sure it is 10% risk of ruin, not 1%? This scaling factor is confusing.
It looks like you make around 20% more by going from Intermediate (or so) to Expert. This is because you make roughly 10% more per unit and you bet 10% higher. This isn't completely out-of-line, but you should report Sharpe ratios and SCORES and reconcile with similar (but more modest) results from Blackjack Attack. I think if you play a worse game then your proportional improvement appears more dramatic because you weren't making much to start.
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