Systems Archive 4
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Re: Sharpe ratio, SCORE, ROI
Posted by T-Hopper on 9 July 2001, at 3:51 p.m., in response to Sharpe ratio, SCORE, ROI, posted by Kim Lee on 9 July 2001, at 2:03 p.m.
I did use 1% risk of ruin originally but found that 10% is more convenient because it allows me to report figures to 2 decimal points rather than 3. However I still recommend a 1% or lower ROR for the entire bankroll. A bankroll should include 2 or more of what I call "Mini-Banks", each with a 10% initial ROR.
I use 10% ROR and SCORE uses 13.54%, so SCORE = ROI * $10000 * 1.15. I will include tables for converting ROI to DI, SCORE, and N0. By the way, ROI is a more general function with default arguments of ROR = 10% and time = 100 hands. Different values can be used for ROR and time can be measured by the hour instead of by the number of hands played.
For more information, see the updated links at http://www.bjrnet.com/thop. More updates and explanations coming soon.
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