Questions
Questions
15 Jan 2013, 20:41
Question:
1. What is considered a good sharpe ratio when working with currencies? There is no real stats on the net, just some talk about a ratio of 1.0 being good, a ratio of 2.0 as being very good and 3.0 and above as being excellent. I would like an opinion on the matter.
2. Is it possible to program calgo to store the prices of a security locally on a computer so when its time to backtest the process does not become time consuming.
3. Also is it possible to connect MATLAB to calgo.
Thanks
Replies
supafly
17 Jan 2013, 19:24
RE:
The sharpe ratio numbers you have quoted are correct.
It is not possible to backtest using locally stored data. If backtesting takes too long it may be due to the algorithm logic as opposed to the data being received. The time it takes to load the trendbars is not too long normally.There is also no solution at the time being that will enable Matlab functions in cAlgo but there is a possibility that this will be implemented in the future.
Thanks for the info, much appreciated.
@supafly
admin
17 Jan 2013, 16:42
The sharpe ratio numbers you have quoted are correct.
It is not possible to backtest using locally stored data. If backtesting takes too long it may be due to the algorithm logic as opposed to the data being received. The time it takes to load the trendbars is not too long normally.
There is also no solution at the time being that will enable Matlab functions in cAlgo but there is a possibility that this will be implemented in the future.
@admin