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URL:  http://boards.fool.com/parameter-x-cagr-gsd-sharpe-ulcer-index-025-26109396.aspx

Subject:  Re: Optimizing Blends with Sharpe/(GSD^x) Date:  11/17/2007  5:00 PM
Author:  elann Number:  203990 of 254143


Parameter x CAGR GSD Sharpe Ulcer Index
0.25 33.68% 17.78 1.57 6.35%
0.00 34.20% 19.85 1.46 8.06%
1.00 27.32% 15.34 1.45 4.96%


This indicates no difference between using the Sharpe ratio and using Sharpe/GSD to rank screens. (And there's an odd outlier at Sharpe/GSD^.25).

In message 203942 you presented the following table -


But our goal is risk-adjusted return, not raw return, so what is the best measure for finding the highest Sharpe Ratio?


Well, you'll be surprised to learn that what is at the absolute bottom of the list above, comes out at the absolute top of the list for risk-adjusted return -- StevnFool's Sharpe/GSD. BTW -- I just added this measure to my backtester after he suggested it yesterday. As a result I had to run a special test just for that indicator and add it to all my other tests.


Sharpe Minimum Maximum Median Average
Sharpe/GSD 1.25 1.67 1.62 1.58
Treynor 1.38 1.62 1.54 1.52
UPR 0.16 1.62 1.47 1.33
Sortino 1.02 1.45 1.37 1.36
CAGR/GSD 0.98 1.58 1.34 1.33
Sharpe 1.03 1.45 1.33 1.34
...



Can you explain the difference between the two results?

Elan
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